The problem of discrete Markov diffusion leaving an interval

DOI10.1007/S10559-016-9859-5zbMath1376.37100OpenAlexW2492720626MaRDI QIDQ333567

Mohammad Hasan, M. Dambrine

Publication date: 31 October 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-016-9859-5

zbMATH Keywords

variational problemOrnstein-Uhlenbeck processaction functionalstochastic difference equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

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• Diffusion approximation of statistical experiments with persistent linear regression and equilibrium
• Diffusion approximation of statistical experiments with persistent non-linear regression and equilibrium
• Two component binary statistical experiments with persistent linear regression
• Random Perturbations of Dynamical Systems
• Diffusion Approximation with Equilibrium for Evolutionary Systems Switched by Semi-Markov Processes

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