Email this article Distributions of Functionals of Switching Diffusions
- Authors: Borodin A.N.1
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Affiliations:
- St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
- Issue: Vol 229, No 6 (2018)
- Pages: 632-650
- Section: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/240501
- DOI: https://doi.org/10.1007/s10958-018-3703-6
- ID: 240501
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Abstract
The paper deals with methods of computation of distributions of functionals of switching diffusions. The switching between two collections of diffusion coefficients occurs at the Poisson time moments which are independent of the initial diffusions. One can also consider more general diffusions when the choice is made from three or more collections of diffusion coefficients.
About the authors
A. N. Borodin
St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
Author for correspondence.
Email: borodin@pdmi.ras.ru
Russian Federation, St. Petersburg
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