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Zapiski Nauchnykh Seminarov POMI, 2017, Volume 466, Pages 38–53
(Mi znsl6539)
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This article is cited in 6 scientific papers (total in 6 papers)
Joint distributions of functionals of telegraph process and 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
Abstract:
The paper deals with the methods for computing joint distributions of functionals of telegraph process and switching diffusions. The switching between two sets of diffusion coefficients comes at the Poisson time moments 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 sets of diffusion coefficients.
Key words and phrases:
telegraph process, diffusions, switching diffusions, distributions of functionals.
Received: 10.10.2017
Citation:
A. N. Borodin, “Joint distributions of functionals of telegraph process and switching diffusions”, Probability and statistics. Part 26, Zap. Nauchn. Sem. POMI, 466, POMI, St. Petersburg, 2017, 38–53
Linking options:
https://www.mathnet.ru/eng/znsl6539 https://www.mathnet.ru/eng/znsl/v466/p38
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Abstract page: | 128 | Full-text PDF : | 74 | References: | 19 |
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