摘要
本文研究出发于零点的一维Brownian粒子速度的一种指数型估计。这种粒子的速度是Langevin方程的唯一平稳解,它也可由时间齐次线性Fokker-Planck方程来刻画。我们利用停时的对数矩,给出了这个轨道过程的一种指数可积性的充分必要条件。
In this paper, we get an exponential estimate for the velocity of a one-dimensional Brownian particle starting at the origion. The velocity of the particle is determined by the Langevin equation, and furthermore, the velocity can also be characterized by a time-homogeneous linear Fokker-Planck equation. We find a necessary and sufficient condition for the exponential integrability of the Brownian velocity process by using the logarithm moments of stoPPing time.
出处
《工程数学学报》
CSCD
北大核心
2009年第4期680-688,共9页
Chinese Journal of Engineering Mathematics
基金
浙江省教育厅资助项目(20070742)
