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EnglishWe 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.
| Titolo: | On first-passage-time and transition densities for strongly symmetric diffusion processes |
| Autori: | |
| Data di pubblicazione: | 1997 |
| Rivista: | |
| 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. |
| Handle: | http://hdl.handle.net/11386/3137429 |
| Appare nelle tipologie: | 1.1.2 Articolo su rivista con ISSN |
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