On the densities of certain bounded diffusion processes
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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.
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Cited in
(24)- Bounds for the transition density of time-homogeneous diffusion processes
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