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Zapiski Nauchnykh Seminarov POMI, 2020, Volume 495, Pages 87–101
(Mi znsl6999)
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Distributions of functionals of diffusions with non-standard switching
A. N. Borodin St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract:
The paper dials with the results that allow us to calculate the joint distributions of functionals of diffusions with switchings that occur in random time moments depending on the diffusion trajectory. Standard switching from one set of diffusion coefficients to another set occur in random moments of time corresponding to the moments of jumps of the Poisson process, independent of the initial diffusions. More general non-standard switching occur when the integral functional of the trajectory reaches the value equal to the exponentially distributed variable. With a unit integrand such switching become standard.
Key words and phrases:
diffusion processes, diffusion with non-standard switching, distribution of functionals.
Received: 24.08.2020
Citation:
A. N. Borodin, “Distributions of functionals of diffusions with non-standard switching”, Probability and statistics. Part 29, Zap. Nauchn. Sem. POMI, 495, POMI, St. Petersburg, 2020, 87–101
Linking options:
https://www.mathnet.ru/eng/znsl6999 https://www.mathnet.ru/eng/znsl/v495/p87
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Abstract page: | 99 | Full-text PDF : | 30 | References: | 20 |
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