Consider the model of random evolution on the real line consisting in a Brownian motion with alternating drift, where the random times separating consecutive reversals of the drift perform an alternating renewal process. This model arises as a suitable extension of the standard Brownian motion and of a motion at constant speed on the real line, whose direction is reversed at every event of a Poisson process. We obtain the probability law of the resulting stochastic process, with explicit expressions of the transition densities in the special case of exponentially distributed inter-renewal times.

On Brownian motions with alternating drifts

DI CRESCENZO, Antonio
2000

Abstract

Consider the model of random evolution on the real line consisting in a Brownian motion with alternating drift, where the random times separating consecutive reversals of the drift perform an alternating renewal process. This model arises as a suitable extension of the standard Brownian motion and of a motion at constant speed on the real line, whose direction is reversed at every event of a Poisson process. We obtain the probability law of the resulting stochastic process, with explicit expressions of the transition densities in the special case of exponentially distributed inter-renewal times.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/1058969
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact