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
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1989-01-01
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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