On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes

DOI10.2307/3215291zbMATH Open0835.60071OpenAlexW2333795666WikidataQ63434461 ScholiaQ63434461MaRDI QIDQ4842811FDOQ4842811

Virginia Giorno, Amelia G. Nobile, Antonio Di Crescenzo, L. M. Ricciardi

Publication date: 8 April 1996

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

Full work available at URL: https://doi.org/10.2307/3215291

zbMATH Keywords

linear processabsorbing boundaryfirst-crossing time probability

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Markov processes (60J99)

Cited In (9)

• Stochastic dynamic models of response time and accuracy: A foundation primer
• A First-Passage-Time Problem for Symmetric and Similar Two-Dimensional Birth–Death Processes
• „ТЕПЛОВАЯ ДИФРАКЦИЯ" НА МНОГОУГОЛЬНИКЕ
• Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
• On a bilateral birth-death process with alternating rates
• Two-dimensional translation-invariant probability distributions: approximations, characterizations and no-go theorems
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• Density symmetries for a class of 2-D diffusions with applications to finance
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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