We consider a class of two-dimensional time-homogeneous diffusion processes whose transition p.d.f.'s satisfy special symmetry conditions. Some closed form results are obtained for transition p.d.f.'s in the presence of absorbing and reflecting conditions and for the first-crossing-time p.d.f.'s through particular time-space-dependent boundaries.
On some probability densities and symmetry properties of two dimensional diffusion processes
NOBILE, Amelia Giuseppina;DI CRESCENZO, Antonio;GIORNO, Virginia;
1989-01-01
Abstract
We consider a class of two-dimensional time-homogeneous diffusion processes whose transition p.d.f.'s satisfy special symmetry conditions. Some closed form results are obtained for transition p.d.f.'s in the presence of absorbing and reflecting conditions and for the first-crossing-time p.d.f.'s through particular time-space-dependent boundaries.File in questo prodotto:
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