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Transition probabilities for some ‘special' diffusions
Published online by Cambridge University Press: 14 July 2016
Abstract
We study the transition probabilities of the diffusions dXt = (1 – exp(Xt))dt + dWt and dXt = – tanh Xtdt + dWt, in terms of special functions of mathematical physics (confluent hypergeometric and Legendre functions, respectively).
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- Copyright © Applied Probability Trust 1987
Footnotes
Research supported by the Air Force Office of Scientific Research under grant AFOSR-86-0203.