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Perturbed Skew Diffusion Processes

Author

Listed:
  • 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)

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.

Suggested Citation

  • Yingxu Tian & Haoyan Zhang, 2023. "Perturbed Skew Diffusion Processes," Mathematics, MDPI, vol. 11(11), pages 1-12, May.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:11:p:2417-:d:1153963
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    References listed on IDEAS

    as
    1. Chaumont, L. & Doney, R. A., 2000. "Some calculations for doubly perturbed Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 61-74, January.
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