First passage time and mean exit time for switching Brownian motion

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Stochastics and Dynamics Pub Date : 2023-01-12 DOI:10.1142/s0219493723500156

Jinying Tong, Ruifang Wu, Qianqian Zhang, Zhenzhong Zhang, E. Zhu

引用次数: 0

Abstract

In this paper, we consider some properties of switching Brownian motion. Combining the analytic method and probabilistic method, some explicit expressions of density functions, the mean exit time and Laplace transform of exit time are given. This paper reveals how drift coefficients impact the first passage probabilities, scale functions and the mean exit time for switching Brownian motion.

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转换布朗运动的首次通过时间和平均退出时间

本文讨论了切换布朗运动的一些性质。结合分析方法和概率方法，给出了密度函数、平均出口时间和出口时间的拉普拉斯变换的一些显式表达式。本文揭示了漂移系数如何影响切换布朗运动的首次通过概率、标度函数和平均退出时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastics and Dynamics 数学-统计学与概率论

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： This interdisciplinary journal is devoted to publishing high quality papers in modeling, analyzing, quantifying and predicting stochastic phenomena in science and engineering from a dynamical system''s point of view. Papers can be about theory, experiments, algorithms, numerical simulation and applications. Papers studying the dynamics of stochastic phenomena by means of random or stochastic ordinary, partial or functional differential equations or random mappings are particularly welcome, and so are studies of stochasticity in deterministic systems.