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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2010 Volume 384, Pages 291–309 (Mi znsl3896)

This article is cited in 3 papers

On delay and asymmetry points of one-dimensional semi-Markov diffusion processes

B. P. Harlamov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg, Russia

Abstract: A homogeneous linear differential equation of the second order is considered. For an open interval where the equation is treated a family of operators of the Dirichlet problem on the set of all subintervals is said to be a generalized semi-group due to its special property. Let the equation has meaning on each of two disjoint intervals with a common boundary point $z$. The extension of the corresponding two semi-groups of operators to a semi-group of operators corresponding to the union of these intervals and the point $z$ is shown to be not unique. It is determined by two arbitrary constants. In order to interpret these arbitrary constants we use a one-dimensional locally Markov diffusion process with special properties of passage of the point $z$. One of these arbitrary constants determines a delay of the process at the point $z$, and the second one induces an asymmetry of the process with respect to $z$. The two extremal meanings of the latter constant, 0 and $\infty$, determine reflection of the process from the point $z$ while going to the point from the left and from the right, respectively. Bibl. 4 titles.

Key words and phrases: diffusion process, semi-Markov process, differential equation, Dirichlet problem, semi-group, reflection, deletion, asymmetry, stationary.

UDC: 519

Received: 09.11.2010


 English version:
Journal of Mathematical Sciences (New York), 2011, 176:2, 270–280

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