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

DOI10.2307/3215291MaRDI QIDQ4842811zbMATH OpenOpenAlexWikidataFDO

Authors Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile, 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)

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Cited in

(15)

• Stochastic dynamic models of response time and accuracy: A foundation primer
• Probability representations of a class of two-way diffusions
• A symmetry-based constructive approach to probability densities for one-dimensional diffusion processes
• A First-Passage-Time Problem for Symmetric and Similar Two-Dimensional Birth–Death Processes
• „ТЕПЛОВАЯ ДИФРАКЦИЯ" НА МНОГОУГОЛЬНИКЕ
• Asymptotic flux across hypersurfaces for diffusion processes
• 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
• Some analytical and statistical aspects related to 2D lognormal diffusion random fields
• Joint densities of first hitting times of a diffusion process through two time-dependent boundaries
• Partial survival and crossing statistics for a diffusing particle in a transverse shear flow
• Density symmetries for a class of 2-D diffusions with applications to finance
• Exact solutions for the probability density of various conditioned processes with an entrance boundary
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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