Time-nonhomogeneous diffusion processes confined by a time dependent reflecting boundary are investigated to obtain a system of integrai equations concerning the transition pdf in the presence of the reflecting boundary. For Gauss-Markov processes restricted by particular time dependent reflecting boundaries a closed form solution of the transition pdf is derived. Furthermore, the first passage time problem through time-dependent thresholds is analized and a nonsingular second-kind Volterra integrai equation for the first passage time pdf is obtained.
Towards Some Computational Problems Arising in Biological Modeling
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2003
Abstract
Time-nonhomogeneous diffusion processes confined by a time dependent reflecting boundary are investigated to obtain a system of integrai equations concerning the transition pdf in the presence of the reflecting boundary. For Gauss-Markov processes restricted by particular time dependent reflecting boundaries a closed form solution of the transition pdf is derived. Furthermore, the first passage time problem through time-dependent thresholds is analized and a nonsingular second-kind Volterra integrai equation for the first passage time pdf is obtained.File in questo prodotto:
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