On the Absorbing Problems for Wiener, Ornstein–Uhlenbeck, and Feller Diffusion Processes: Similarities and Differences

On the Absorbing Problems for Wiener, Ornstein–Uhlenbeck, and Feller Diffusion Processes: Similarities and Differences

For the Wiener, Ornstein–Uhlenbeck, and Feller processes, we study the transition probability density functions with an absorbing boundary in the zero state. Particular attention is paid to the proportional cases and to the time-homogeneous cases, by obtaining the first-passage time densities throug...

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Bibliographic Details
Main Authors: Virginia Giorno, Amelia G. Nobile
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Fractal and Fractional
Subjects:
Wiener process
Ornstein–Uhlenbeck process
Feller process
asymptotic average of the local time
first-passage time and its moments
Online Access:https://www.mdpi.com/2504-3110/7/1/11

Internet

https://www.mdpi.com/2504-3110/7/1/11

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