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