We start from a time-inhomogeneous diffusion process, obtained by applying the composition method to two Wiener processes. Then, we investigate the corresponding diffusion process, restricted by a reflecting boundary in the zero-state. Moreover, we consider a special time-inhomogeneous diffusion process symmetric with respect to zero-state characterized by discontinuous drift. Various numerical computations are performed in the presence of periodic noise intensity.

On a time-inhomogeneous diffusion process with discontinuous drift

Virginia Giorno
Investigation
;
Amelia G Nobile
Investigation
2023-01-01

Abstract

We start from a time-inhomogeneous diffusion process, obtained by applying the composition method to two Wiener processes. Then, we investigate the corresponding diffusion process, restricted by a reflecting boundary in the zero-state. Moreover, we consider a special time-inhomogeneous diffusion process symmetric with respect to zero-state characterized by discontinuous drift. Various numerical computations are performed in the presence of periodic noise intensity.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/4821352
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