Enviar artigo por via de e-mail Distributions of Functionals of Switching Diffusions
- Autores: Borodin A.N.1
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Afiliações:
- St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
- Edição: Volume 229, Nº 6 (2018)
- Páginas: 632-650
- Seção: 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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Resumo
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.
Sobre autores
A. Borodin
St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
Autor responsável pela correspondência
Email: borodin@pdmi.ras.ru
Rússia, St. Petersburg
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