On Integral of a Semi-Markov Diffusion Process
Journal Article
·
· Journal of Mathematical Sciences
Let (X(t)) (t ≥ 0) be a semi-Markov diffusion process. The process (J(T )) (T ≥ 0) equal to the integral of (X(t)) on interval [0, T ) is studied. The relation between one-dimensional differential equation of the second order of elliptical type and asymptotics of a solution to Dirichlet problem on an interval with length tending to zero is established. This relation is used to derive a differential equation for the Laplace transform of the semi-Markov generating function of the process (J(t)).
- OSTI ID:
- 22771413
- Journal Information:
- Journal of Mathematical Sciences, Journal Name: Journal of Mathematical Sciences Journal Issue: 6 Vol. 229; ISSN JMTSEW; ISSN 1072-3374
- Country of Publication:
- United States
- Language:
- English
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