TRANSITION DENSITY OF ONE-DIMENSIONAL DIFFUSION WITH DISCONTINUOUS DRIFT

被引：3
|
作者：
ZHANG, W
机构：
[1] Department of Electrical Engineering, University of California, Los Angeles
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1990年 / 35卷 / 08期
关键词：
Diffusion;
D O I：
10.1109/9.58517
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study the transition density of a one-dimensional diffusion process with a discontinuous drift coefficient. A probabilistic representation of the transition density is given, which illustrates the close connections between the discontinuities of the drift and Brownian local times. In addition, some explicit results are obtained based upon the trivariate density of Brownian motion, its occupation, and local times [7]. The transition density of a bang-bang control example considered in [1], [2] is obtained explicitly. © 1990 IEEE
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页码：980 / 985
页数：6
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