The method earlier introduced for one-dimensional diffusion processes is extended to obtain closed form expressions for the transition p.d.f.'s of two-dimensional diffusion processes in the presence of absorbing boundaries and for the first-crossing time p.d.f.'s through such boundaries. Use of such method is finally made to analyze a two-dimensional linear process.
On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
DI CRESCENZO, Antonio;GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1995-01-01
Abstract
The method earlier introduced for one-dimensional diffusion processes is extended to obtain closed form expressions for the transition p.d.f.'s of two-dimensional diffusion processes in the presence of absorbing boundaries and for the first-crossing time p.d.f.'s through such boundaries. Use of such method is finally made to analyze a two-dimensional linear process.File in questo prodotto:
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