ON SOME TIME-NON-HOMOGENEOUS LINEAR DIFFUSION PROCESSES AND RELATED BRIDGES dedicated to the memory of our “Maestro” Professor Luigi M. Ricciardi

Aniello Buonocore; Luigia Caputo; Amelia G. Nobile; Enrica Pirozzi

doi:10.32219/isms.76.1_55

ON SOME TIME-NON-HOMOGENEOUS LINEAR DIFFUSION PROCESSES AND RELATED BRIDGES

dedicated to the memory of our “Maestro” Professor Luigi M. Ricciardi

Aniello Buonocore, Luigia Caputo, Amelia G. Nobile, Enrica Pirozzi

Author information

Keywords: Ornstein-Uhlenbeck bridge, Feller-type bridge, transition densities, first passage time densities

JOURNAL FREE ACCESS

2013 Volume 76 Issue 1 Pages 55-77

DOI https://doi.org/10.32219/isms.76.1_55

Details

Abstract

In this paper we analyze the dynamics of the diffusion bridges (or tieddown diffusion processes), derived from time-non-homogeneous linear diffusion processes. For the Ornstein-Uhlenbeck and the Feller-type diffusion bridges, the distribution of first passage time through particular boundaries is determined.

Corresponding author

Register with J-STAGE for free!