DocumentCode
1546393
Title
Transition density of one-dimensional diffusion with discontinuous drift
Author
Zhang, Weijian
Author_Institution
Dept. of Electr. Eng., California Univ., Los Angeles, CA, USA
Volume
35
Issue
8
fYear
1990
fDate
8/1/1990 12:00:00 AM
Firstpage
980
Lastpage
985
Abstract
The transition density of a one-dimensional diffusion process with a discontinuous drift coefficient is studied. A probabilistic representation of the transition density is given, illustrating the close connections between discontinuities of the drift and Brownian local times. In addition, some explicit results are obtained based upon the trivariate density of Brownian motion, its occupation, and local times
Keywords
Brownian motion; diffusion; probability; 1D diffusion; Brownian motion; discontinuous drift; probabilistic representation; transition density; Chebyshev approximation; Differential equations; Filtration; IEEE Computer Society Press; Motion measurement; Nonlinear equations; Notice of Violation; Optimal control; Polynomials; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.58517
Filename
58517
Link To Document