The method earlier introduced for one-dimensional diffusion processes [6] is extended to obtain closed form expressions for the transition p.d.f.'s of two-dimensional diffusion processes in the presence of absorbing boundaries and for the first-crossing time p.d.f.'s through such boundaries. Use of such a method is finally made to analyse a two-dimensional linear process.
On a symmetry--based constructive approach to probability densities for two--dimensional diffusion processes / A., D.C., V., G., A. G., N., Ricciardi, L.M.. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 32:2(1995), pp. 316-336.
On a symmetry--based constructive approach to probability densities for two--dimensional diffusion processes
RICCIARDI, LUIGI MARIA
1995
Abstract
The method earlier introduced for one-dimensional diffusion processes [6] is extended to obtain closed form expressions for the transition p.d.f.'s of two-dimensional diffusion processes in the presence of absorbing boundaries and for the first-crossing time p.d.f.'s through such boundaries. Use of such a method is finally made to analyse a two-dimensional linear process.File in questo prodotto:
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