On a time-inhomogeneous diffusion process with discontinuous drift

[1]  Virginia Giorno,et al.  On the Simulation of a Special Class of Time-Inhomogeneous Diffusion Processes , 2021, Mathematics.

[2]  Virginia Giorno,et al.  On a class of birth-death processes with time-varying intensity functions , 2020, Appl. Math. Comput..

[3]  A. G. Nobile,et al.  On the Construction of a Special Class of Time-Inhomogeneous Diffusion Processes , 2019, Journal of Statistical Physics.

[4]  A. G. Nobile,et al.  Restricted Gompertz-Type Diffusion Processes with Periodic Regulation Functions , 2019, Mathematics.

[5]  Virginia Giorno,et al.  A Time-Non-Homogeneous Double-Ended Queue with Failures and Repairs and Its Continuous Approximation , 2018 .

[6]  Aniello Buonocore,et al.  Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary , 2018, Comput. Stat. Data Anal..

[7]  Songhe Song,et al.  Immersed Interface Method for Fokker-Planck Equation with Discontinuous Drift , 2017 .

[8]  A. G. Nobile,et al.  Analysis of Reflected Diffusions via an Exponential Time-Based Transformation , 2016 .

[9]  J. Masoliver.  Nonstationary Feller process with time-varying coefficients. , 2015, Physical review. E.

[10]  Aniello Buonocore,et al.  Restricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signals , 2015, J. Comput. Appl. Math..

[11]  Virginia Giorno,et al.  A Continuous-Time Ehrenfest Model with Catastrophes and Its Jump-Diffusion Approximation , 2015, Journal of Statistical Physics.

[12]  J. Chahine,et al.  The Fokker–Planck equation for a bistable potential , 2014 .

[13]  Virginia Giorno,et al.  On some time non-homogeneous queueing systems with catastrophes , 2014, Appl. Math. Comput..

[14]  D. Veestraeten.  On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process , 2014 .

[15]  Aniello Buonocore,et al.  Gauss-Markov processes in the presence of a reflecting boundary and applications in neuronal models , 2014, Appl. Math. Comput..

[16]  Michael Sørensen,et al.  A transformation approach to modelling multi-modal diffusions , 2014 .

[17]  John Leth,et al.  A Simple Stochastic Differential Equation with Discontinuous Drift , 2013, HAS.

[18]  H. Touchette,et al.  Weak-noise limit of a piecewise-smooth stochastic differential equation. , 2013, Physical review. E, Statistical, nonlinear, and soft matter physics.

[19]  J. Masoliver,et al.  First-passage and escape problems in the Feller process. , 2012, Physical review. E, Statistical, nonlinear, and soft matter physics.

[20]  S. Kwok.  Langevin equation with multiplicative white noise: Transformation of diffusion processes into the Wiener process in different prescriptions , 2012 .

[21]  Virginia Giorno,et al.  On the densities of certain bounded diffusion processes , 2011 .

[22]  Virginia Giorno,et al.  On the Construction of Densities for Time Non-homogeneous Diffusion Processes , 2011, EUROCAST.

[23]  Amilcare Porporato,et al.  First passage time statistics of Brownian motion with purely time dependent drift and diffusion , 2010, 1009.0557.

[24]  Wolfram Just,et al.  Brownian motion with dry friction: Fokker–Planck approach , 2010, 1008.3331.

[25]  V. Linetsky.  On the transition densities for reflected diffusions , 2005, Advances in Applied Probability.

[26]  A. G. Nobile,et al.  A computational approach to first-passage-time problems for Gauss–Markov processes , 2001, Advances in Applied Probability.

[27]  L. Ricciardi,et al.  First-passage-time densities for time-non-homogeneous diffusion processes , 1997, Journal of Applied Probability.

[28]  I. Benjamini,et al.  Conditioned Diffusions which are Brownian Bridges , 1997 .

[29]  A. G. Nobile,et al.  On first-passage-time and transition densities for strongly symmetric diffusion processes , 1997, Nagoya Mathematical Journal.

[30]  M. Hongler.  Exact solutions of a class of non-linear Fokker-Planck equations , 1979 .

[31]  Vladas Sidoravicius,et al.  Stochastic Processes and Applications , 2007 .

[32]  E. K. Wong.  The Construction of a Class of Stationary Markoff Processes , 1964 .