Distribution of Functionals of a Brownian Motion with Nonstandard Switching

被引：0
|
作者：
Borodin A.N. [1 ]
机构：
[1] St. Petersburg Department of the Steklov Mathematical Institute, St. Peterburg State University, St. Petersburg
来源：
Journal of Mathematical Sciences | 2021年 / 258卷 / 6期
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D O I：
10.1007/s10958-021-05578-x
中图分类号：
学科分类号：
摘要：
The standard switching from one set of diffusion coefficients to another one occurs at random times corresponding to the moments of jumps of a Poisson process independent of the initial diffusion. The paper deals with the process of Brownian motion with variance taking one of two values by the switching depending on trajectories of the process. The most attractive from the computational point of view is the moment inverse to local time. © 2021, Springer Science+Business Media, LLC, part of Springer Nature.
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页码：758 / 763
页数：5
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