EFFECT OF A DRIFT DISCONTINUITY ON A TRAVELING GAUSSIAN

Authors
MAYBANK SJ
Citation
Sj. Maybank, EFFECT OF A DRIFT DISCONTINUITY ON A TRAVELING GAUSSIAN, Applied mathematics letters, 11(3), 1998, pp. 75-81
Citations number
11
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics letters → ACNP
ISSN journal
08939659
Volume
11
Issue
3
Year of publication
1998
Pages
75 - 81
Database
ISI
SICI code
0893-9659(1998)11:3<75:EOADDO>2.0.ZU;2-U
Abstract
The effect of a fixed discontinuity on a travelling Gaussian density i s modelled using a simple stochastic differential equation. The result ing density is represented as a one-dimensional integral of standard f unctions. Numerical examples are given. It is shown that the density r everts towards a Gaussian after leaving the neighbourhood of the disco ntinuity. The expectation and the variance of the transmitted Gaussian are estimated.