Perturbed Skew Diffusion Processes

Yingxu Tian and Haoyan Zhang ()
Additional contact information
Yingxu Tian: College of Science, Civil Aviation University of China, Tianjin 300300, China
Haoyan Zhang: College of Science, Civil Aviation University of China, Tianjin 300300, China

Mathematics, 2023, vol. 11, issue 11, 1-12

Abstract: This work investigates whether there uniquely exists a solution to the perturbed skew diffusion process. We construct the solution by iteration and divide the whole time interval into parts on which we disperse the perturbed skew diffusion process into two tractable portions, one for perturbed diffusion process, the other for skew diffusion process. After this disposition, we only focus on the process in each time interval. Noticing the continuity on every time interval boundaries generalized by a sequence of stopping times, we acquire the main result of this paper as well as a time change for the perturbed skew process.

Keywords: skew diffusion process; perturbed diffusion process; perturbed skew diffusion process; local time; change in time (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/11/11/2417/pdf (application/pdf)
https://www.mdpi.com/2227-7390/11/11/2417/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:11:y:2023:i:11:p:2417-:d:1153963

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().