Abstract
A new procedure for constructing transition probability density functions and first passage time densities through constant boundaries is proposed for diffusion processes, in general time non homogeneous. A special diffusion process with periodic drift and infinitesimal variance is considered.
This work has been performed under partial support by MIUR (PRIN 2008).
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Giorno, V., Nobile, A.G., Ricciardi, L.M. (2012). On the Construction of Densities for Time Non-homogeneous Diffusion Processes. In: Moreno-Díaz, R., Pichler, F., Quesada-Arencibia, A. (eds) Computer Aided Systems Theory – EUROCAST 2011. EUROCAST 2011. Lecture Notes in Computer Science, vol 6927. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27549-4_11
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DOI: https://doi.org/10.1007/978-3-642-27549-4_11
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