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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2020 Volume 495, Pages 291–304 (Mi znsl7010)

This article is cited in 1 paper

On a sufficient condition for a diffusion process will nether reach boundaries of some interval

B. P. Harlamov

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

Abstract: A one-dimensional diffusion semi-Markov process on some interval of its values is considered. Semi-Markov transition functions of the process dstisfy a second order differential equation with coefficients admitting possibility what the process stops inside this interval. In terms of coefficients of this equation some sufficient conditions are proved for the process will nether reach the left or right boundaries of this interval.

Key words and phrases: semi-Markov transition functions, functional equation, differential equation, infinite production, divergent series.

UDC: 519.2

Received: 17.09.2020



© Steklov Math. Inst. of RAS, 2024