Limit theorems for number of diffusion processes, which did not absorb by boundaries |
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Authors: | Aniello Fedullo Vitalii A Gasanenko |
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Institution: | (1) Universita Degli Studi Di Salerno, 84084 Fisciano (SA), Italia;(2) Institute of Mathematics, National Academy of Science of Ukraine, 01601 Kiev, Ukraine |
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Abstract: | We have random number of independent diffusion processes with absorption on boundaries in some region at initial time t = 0. The initial numbers and positions of processes in region is defined by the Poisson random measure. It is required to
estimate the number of the unabsorbed processes for the fixed time τ > 0. The Poisson random measure depends on τ and τ → ∞.
This research was partially supported by the Ministry of Education and Science of Ukraine, project 01.07/103 and University
of Salerno, Italy. |
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Keywords: | Stochastic differential equations solution of parabolic equations eigenvalues problem Poisson random measure generating function |
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