Title :
Transition density of one-dimensional diffusion with discontinuous drift
Author_Institution :
Dept. of Electr. Eng., California Univ., Los Angeles, CA, USA
fDate :
8/1/1990 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
