We define a class of one dimensional diffusion processes whose transition p.d.f.'s satisfy some "strong" symmetry properties and a class of time-varying boundaries for which the first-passage-time and the transition pdf's with absorbing conditions on the boundaries can be obtained in closed form both for the cases of a single and of a pair of boundaries. Our findings are finally seen to include a result ingeniously obtained by Daniels for the standard Wiener process and a particular boundary.
On first-passage-time and transition densities for strongly symmetric diffusion processes
DI CRESCENZO, Antonio;GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1997
Abstract
We define a class of one dimensional diffusion processes whose transition p.d.f.'s satisfy some "strong" symmetry properties and a class of time-varying boundaries for which the first-passage-time and the transition pdf's with absorbing conditions on the boundaries can be obtained in closed form both for the cases of a single and of a pair of boundaries. Our findings are finally seen to include a result ingeniously obtained by Daniels for the standard Wiener process and a particular boundary.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
