Year: 2025
Type: preprint
Abstract: We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential measures. Applying these results, we further discuss their asymptotic behaviors such as the stationary distributions and the escape probabilities.
Source: arXiv (Cornell University)
Authors: Ji, Lina, Li, Chuyang, Zhou, Xiaowen
Language: English
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W7077896038
Cites:
Cited by:
Related to: