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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2014 Volume 431, Pages 209–241 (Mi znsl6104)

This article is cited in 2 papers

Final distribution of a diffusion process with a final stop

B. P. Harlamov

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

Abstract: One-dimensional diffusion process is considered. A characteristic operator of this process is assumed to be a linear differential operator of the second order with a negative coefficient in the operator's member without derivative. Such an operator determines a measure of a Markov diffusion process with a break (the first interpretation), and also that of a semi-Markov diffusion process with a final stop (the second interpretation). Under the second interpretation the existence of a limit on infinity of the process (the final point) is characterized. This limit exists on any interval almost sure with respect to a conditional measure, generated by condition that the process never leaves this interval. A distribution of the final point expressed in terms of two fundamental solutions of the corresponding ordinary differential equation, and also that of the final stop beginning instant are derived. A homogeneous process is considered as an example.

Key words and phrases: Markov process, continuous semi-Markov process, Markov moment, first exit time, final point, density of final distribution.

UDC: 519.2

Received: 16.09.2014


 English version:
Journal of Mathematical Sciences (New York), 2016, 214:4, 562–583

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