On a time-inhomogeneous diffusion process with discontinuous drift

Virginia Giorno and Amelia G. Nobile

Applied Mathematics and Computation, 2023, vol. 451, issue C

Abstract: We start from a time-inhomogeneous diffusion process, obtained by applying the composition method to two Wiener processes. Then, we investigate the corresponding diffusion process, restricted by a reflecting boundary in the zero-state. Moreover, we consider a special time-inhomogeneous diffusion process symmetric with respect to zero-state characterized by discontinuous drift. Various numerical computations are performed in the presence of periodic noise intensity.

Keywords: Wiener process; Reflected diffusion processes; Symmetric diffusion processes; Heavy traffic diffusion approximation (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323001819

DOI: 10.1016/j.amc.2023.128012

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