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A symmetry-based constructive approach to probability densities for one-dimensional diffusion processes

Published online by Cambridge University Press:  14 July 2016

V. Giorno ,
A. G. Nobile  and
L. M. Ricciardi
V. Giorno*
Affiliation:
University of Salerno
A. G. Nobile*
Affiliation:
University of Salerno
L. M. Ricciardi*
Affiliation:
University of Naples
*
∗ Postal address: Dipartimento di Informatica e Applicazioni, Università di Salerno, Salerno, Italy.
∗ Postal address: Dipartimento di Informatica e Applicazioni, Università di Salerno, Salerno, Italy.
∗∗ Postal address: Dipartimento di Matematica e Applicazioni, Università di Napoli, Via Mezzocannone 8, 80134 Napoli, Italy.
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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.

Keywords

TIME-HOMOGENEOUS DIFFUSIONSVARYING BOUNDARIESREFLECTIONABSORBTIONFIRST-PASSAGE TIME

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 26 , Issue 4 , December 1989 , pp. 707 - 721
Copyright
Copyright © Applied Probability Trust 1989 

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