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Zapiski Nauchnykh Seminarov POMI, 2018, Volume 474, Pages 28–45 (Mi znsl6666)  
This article is cited in 2 scientific papers (total in 2 papers)

Distributions of functionals of switching diffusions with jumps

A. N. Borodinab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
b Saint Petersburg State University, Saint Petersburg, Russia
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Abstract: The paper deals with the methods for computing of distributions of functionals of switching diffusions with jumps. The switching between two collections of diffusion coefficients happens at the Poisson time moments, which are independent of the initial diffusions. At the same moments diffusion can have a jumps. The process governing the switching is determined by a Markov chain.
Key words and phrases: Markov chain, diffusions, switching diffusions, distributions of functionals.
Funding agency Grant number
Saint Petersburg State University 6.65.37.2017
Russian Foundation for Basic Research 16-01-00367_а
Received: 10.10.2018
Document Type: Article
UDC: 519.2
Language: Russian
Citation: A. N. Borodin, “Distributions of functionals of switching diffusions with jumps”, Probability and statistics. Part 27, Zap. Nauchn. Sem. POMI, 474, POMI, St. Petersburg, 2018, 28–45
Citation in format AMSBIB
\Bibitem{Bor18}
\by A.~N.~Borodin
\paper Distributions of functionals of switching diffusions with jumps
\inbook Probability and statistics. Part~27
\serial Zap. Nauchn. Sem. POMI
\yr 2018
\vol 474
\pages 28--45
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6666}
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  • https://www.mathnet.ru/eng/znsl/v474/p28
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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