On the densities of certain bounded diffusion processes (Q547272)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On the densities of certain bounded diffusion processes |
scientific article |
Statements
On the densities of certain bounded diffusion processes (English)
0 references
1 July 2011
0 references
Explicit expressions for Laplace transforms of transition densities and first passage time densities are derived for scalar time-homogeneous diffusions with one sided or two sided absorbing and / or reflecting boundaries. The results are then specialized to symmetric diffusions and hyperbolic diffusions that include the Wiener process with drift and the Hongler process, to derive more explicit expressions.
0 references
first-passage time
0 references
Laplace transforms of densities
0 references
hyperbolic process
0 references
Hongler process
0 references