一类马氏调节反射跳扩散过程的平稳性（英文）

发布时间：2018-05-07 05:03

  本文选题：马氏调节 + 反射跳扩散　； 参考：《应用概率统计》2017年01期

【摘要】：本文拓展文献[1]的马氏调节反射布朗运动模型到马氏调节反射跳-扩散过程,其中跳元素被表述为一个马氏调节复合泊松过程.我们主要计算有关该马氏调节反射跳-扩散过程的平稳分布.我们用一个具有两状态例子通过合适的边界条件来说明如何求解平稳分布所满足的积分-微分方程组.最后,作为一个特殊情况,我们给出无马氏调节反射-扩散过程的平稳分布.
[Abstract]:In this paper, we extend the Brownian motion model of the Markov regulated reflection from [1] to the Mahalanobis reflex jump-diffusion process, in which the jump element is expressed as a Markov regulated compound Poisson process. We mainly calculate the stationary distribution of the Mahalanobis regulated reflection jump-diffusion process. We use an example with two states to illustrate how to solve the system of integro-differential equations satisfied by stationary distribution through appropriate boundary conditions. Finally, as a special case, we give the stationary distribution of the non-Markov reflex diffusion process.
【作者单位】： 西安交通大学城市学院;
【基金】：supported by Scientific Research Plan Project of Education Department of Shaanxi Provincial Government(Grant No.14JK2050)
【分类号】：O211.62
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本文编号：1855513