Special symmetry conditions on the transition p.d.f. of one-dimensional time-homogeneous diffusion processes with natural boundaries are investigated and exploited to derive closed-form results concerning the transition p.d.f's in the presence of absorbing and reflecting boundaries and the first-passage-time p.d.f. through time-dependent boundaries.
A symmetry-based constructive approach to probability densities for one dimensional diffusion processes / V., Giorno; A. G., Nobile; Ricciardi, LUIGI MARIA. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 26:4(1989), pp. 707-721.
A symmetry-based constructive approach to probability densities for one dimensional diffusion processes
RICCIARDI, LUIGI MARIA
1989
Abstract
Special symmetry conditions on the transition p.d.f. of one-dimensional time-homogeneous diffusion processes with natural boundaries are investigated and exploited to derive closed-form results concerning the transition p.d.f's in the presence of absorbing and reflecting boundaries and the first-passage-time p.d.f. through time-dependent boundaries.File in questo prodotto:
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