On the densities of certain bounded diffusion processes (Q547272)
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scientific article; zbMATH DE number 5916728
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the densities of certain bounded diffusion processes |
scientific article; zbMATH DE number 5916728 |
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On the densities of certain bounded diffusion processes (English)
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1 July 2011
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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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first-passage time
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Laplace transforms of densities
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hyperbolic process
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Hongler process
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