We analyze the dynamics of the diffusion bridges (or tied-down diffusion processes), derived from time-non-homogeneous linear diffusion processes. For the Ornstein-Uhlenbeck and the Feller-type diffusion bridges, the distribution of first passage time through particular boundaries is determined.
On some time-non-homogeneous linear diffusion processes and related bridges
NOBILE, Amelia Giuseppina;
2013-01-01
Abstract
We analyze the dynamics of the diffusion bridges (or tied-down diffusion processes), derived from time-non-homogeneous linear diffusion processes. For the Ornstein-Uhlenbeck and the Feller-type diffusion bridges, the distribution of first passage time through particular boundaries is determined.File in questo prodotto:
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