Transition probabilities for some ‘special' diffusions

DOI10.2307/3214213zbMATH Open0637.60072OpenAlexW2316716451MaRDI QIDQ3777181FDOQ3777181

Authors: Ioannis Karatzas, Václav E. Beneš 

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214213

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zbMATH Keywords

confluent hypergeometric functionsFeynman-Kac formulaLegendre functionsGirsanov theoremLaplace transformationspecial functions of mathematical physics

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

Cited In (4)

• Transition probability density of a certain diffusion process concentrated on a finite spatial interval
• Explicit form of approximate transition probability density functions of diffusion processes
• A representation formula for transition probability densities of diffusions and applications
• Title not available (Why is that?)

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