A Note on Diffusion Processes with Jumps

被引：0
|
作者：
Giorno, Virginia [1 ]
Spina, Serena [2 ]
机构：
[1] Univ Salerno, Dipartimento Informat, Fisciano, SA, Italy
[2] Univ Salerno, Dipartimento Matemat, Fisciano, SA, Italy
来源：
COMPUTER AIDED SYSTEMS THEORY - EUROCAST 2017, PT II | 2018年 / 10672卷
关键词：
SUBJECT; MODEL;
D O I：
10.1007/978-3-319-74727-9_8
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We focus on stochastic diffusion processes with jumps occurring at random times. After each jump the process is reset to a fixed state from which it restarts with a different dynamics. We analyze the transition probability density function, its moments and the first passage time density. The obtained results are used to study the lognormal diffusion process with jumps which is of interest in the applications.
引用
收藏
页码：64 / 71
页数：8
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