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

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

A. G. Di Crescenzo ,
V. Giorno ,
A. G. Nobile  and
L. M. Ricciardi
A. G. Di Crescenzo*
Affiliation:
University of Naples
V. Giorno*
Affiliation:
University of Salerno
A. G. Nobile*
Affiliation:
University of Salerno
L. M. Ricciardi*
Affiliation:
University of Naples
*
∗Postal address: Dipartimento di Matematica e Applicazioni, Università di Napoli ‘Federico II′, Via Cintia, 80126 Naples, Italy.
∗∗Postal address: Dipartimento di Informatica e Applicazioni, Università di Salerno, Via S. Allende, 84081 Baronissi (SA), Italy.
∗∗Postal address: Dipartimento di Informatica e Applicazioni, Università di Salerno, Via S. Allende, 84081 Baronissi (SA), Italy.
∗Postal address: Dipartimento di Matematica e Applicazioni, Università di Napoli ‘Federico II′, Via Cintia, 80126 Naples, Italy.
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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.

Keywords

FIRST-CROSSING TIMEABSORBING BOUNDARIESLINEAR PROCESS

MSC classification

Primary: 60J60: Diffusion processes
Secondary: 60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) 60J99: None of the above, but in this section
Type
Research Papers
Information
Journal of Applied Probability , Volume 32 , Issue 2 , June 1995 , pp. 316 - 336
Copyright
Copyright © Applied Probability Trust 1995 

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References

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