Effect of a drift discontinuity on a travelling Gaussian

DOI10.1016/S0893-9659(98)00036-6zbMath0940.60055OpenAlexW2089325469MaRDI QIDQ1124848

Stephen J. Maybank

Publication date: 27 July 2000

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0893-9659(98)00036-6

zbMATH Keywords

stochastic differential equationdrift discontinuitytraveling Gaussian density

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Uses Software

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Cites Work

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• Some solvable stochastic control problemst^†
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• Finite-dimensional filters
• Stochastic differential equations. An introduction with applications.

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