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 GiornoInvestigation
;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.File in questo prodotto:
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