A new procedure for constructing transition probability density functions and first passage time densities through constant boundaries is proposed for diffusion processes, in general time non homogeneous. A special diffusion process with periodic drift and infinitesimal variance is considered.
On the construction of densities for time non-homogeneous diffusion processes
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2012-01-01
Abstract
A new procedure for constructing transition probability density functions and first passage time densities through constant boundaries is proposed for diffusion processes, in general time non homogeneous. A special diffusion process with periodic drift and infinitesimal variance is considered.File in questo prodotto:
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