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Zapiski Nauchnykh Seminarov POMI, 2016, Volume 454, Pages 52–81 (Mi znsl6384)  
This article is cited in 8 scientific papers (total in 8 papers)

Distributions of functionals of switching diffusions

A. N. Borodinab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
b St. Petersburg State University, St. Petersburg, Russia
Full-text PDF (263 kB) Citations (8)
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Abstract: The paper deals with the methods of computations of distributions of functionals of switching diffusions. The switching between two collections of diffusion coefficients happens at the Poisson time moments, which are independent of the initial diffusions. It is also possible to consider the more general switching diffusions when the choice is taken from three and more collections of diffusion coefficients.
Key words and phrases: diffusions, switching diffusions, distributions of functionals.
Funding agency Grant number
Russian Foundation for Basic Research 16-01-00367
Russian Academy of Sciences - Federal Agency for Scientific Organizations
Received: 15.10.2016
English version:
Journal of Mathematical Sciences (New York), 2018, Volume 229, Issue 6, Pages 632–650
DOI: https://doi.org/10.1007/s10958-018-3703-6
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: A. N. Borodin, “Distributions of functionals of switching diffusions”, Probability and statistics. Part 24, Zap. Nauchn. Sem. POMI, 454, POMI, St. Petersburg, 2016, 52–81; J. Math. Sci. (N. Y.), 229:6 (2018), 632–650
Citation in format AMSBIB
\Bibitem{Bor16}
\by A.~N.~Borodin
\paper Distributions of functionals of switching diffusions
\inbook Probability and statistics. Part~24
\serial Zap. Nauchn. Sem. POMI
\yr 2016
\vol 454
\pages 52--81
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6384}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3602401}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2018
\vol 229
\issue 6
\pages 632--650
\crossref{https://doi.org/10.1007/s10958-018-3703-6}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85042233697}
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  • https://www.mathnet.ru/eng/znsl/v454/p52
    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:29
     
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