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

著者情報

キーワード: Ornstein-Uhlenbeck bridge, Feller-type bridge, transition densities, first passage time densities

ジャーナルフリー

2013 年 76 巻 1 号 p. 55-77

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

詳細

抄録

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.

責任著者(Corresponding author)

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