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On first-passage-time and transition densities for strongly symmetric diffusion processes

Published online by Cambridge University Press:  22 January 2016

A. Di Crescenzo
Affiliation:
Dipartimento di Matematica e Applicazioni, University of Naples “Federico II”, via Cintia-80126 Naples, Italy
V. Giorno
Affiliation:
Dipartimento di Informatica e Applicazioni, University of Salerno, via S. Allende-84081 Baronissi (SA), Italy
A. G. Nobile
Affiliation:
Dipartimento di Informatica e Applicazioni, University of Salerno, via S. Allende-84081 Baronissi (SA), Italy
L. M. Ricciardi
Affiliation:
Dipartimento di Matematica e Applicazioni, University of Naples “Federico II”, via Cintia-80126 Naples, Italy
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One dimensional diffusion processes have been increasingly invoked to model a variety of biological, physical and engineering systems subject to random fluctuations (cf., for instance, Blake, I. F. and Lindsey, W. C. [2], Abrahams, J. [1], Giorno, V. et al [10] and references therein). However, usually the knowledge of the ‘free’ transition probability density function (pdf) is not sufficient; one is thus led to the more complicated task of determining transition functions in the presence of preassigned absorbing boundaries, or first-passage-time densities for time-dependent boundaries (see, for instance, Daniels, H. E. [6], [7], Giorno, V. et al. [10]). Such densities are known analytically only in some special instances so that numerical methods have to be implemented in general (cf., for instance, Buono-core, A. et al [3], [4], Giorno, V. et al [11]). The analytical approach becomes particularly effective when the diffusion process exhibits some special features, such as the symmetry of its transition pdf. For instance, in [10] special symmetry conditions on the transition pdf of one-dimensional time-homogeneous diffusion process with natural boundaries are investigated to derive closed form results concerning the transition pdf’s and the first-passage-time pdf for particular time-dependent boundaries. On the other hand, by using the method of images, in [6] Daniels has obtained a closed form expression for the transition pdf of the standard Wiener process in the presence of a particular time-dependent absorbing boundary. It is interesting to remark that such density cannot be obtained via the methods described in [10], even though the considered process exhibits the kind of symmetry discussed therein.

Type
Research Article
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1997

References

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