We consider stochastic diffusion processes subject to jumps that occur at random times. We assume that after each jump the process is reset to a random state from which it can evolve with a different dynamics. For this kind of processes the transition probability density function and its moments are analyzed. Moreover, the first passage time problem is studied. The results are applied to the processes with jumps constructed on the Wiener diffusion process.
Some remarks on stochastic diffusion processes with jumps
GIORNO, Virginia;SPINA, SERENA
2015-01-01
Abstract
We consider stochastic diffusion processes subject to jumps that occur at random times. We assume that after each jump the process is reset to a random state from which it can evolve with a different dynamics. For this kind of processes the transition probability density function and its moments are analyzed. Moreover, the first passage time problem is studied. The results are applied to the processes with jumps constructed on the Wiener diffusion process.File in questo prodotto:
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