We propose a procedure for constructing FPT pdf's through constant boundaries for a new diffusion process, in general time non-homogeneous, in terms of preassigned FPT pdf's of a known temporally homogeneous diffusion process, without resorting to space-time transformations of the transition pdf's. In particular, it is shown that if drifts and infinitesimal variances of two diffusion processes are suitably related to one another, then their FPT pdf's are also suitably related.
On the construction of densities for time non-homogeneous diffusion processes (Extended Abstract)
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2011
Abstract
We propose a procedure for constructing FPT pdf's through constant boundaries for a new diffusion process, in general time non-homogeneous, in terms of preassigned FPT pdf's of a known temporally homogeneous diffusion process, without resorting to space-time transformations of the transition pdf's. In particular, it is shown that if drifts and infinitesimal variances of two diffusion processes are suitably related to one another, then their FPT pdf's are also suitably related.File in questo prodotto:
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