Probability representations of a class of two-way diffusions
There has been little progress in the analysis of two-way diffusion in the last few decades due to the difficulties brought by the interface section similar to a free boundary condition. In this paper, however, the equivalent probability model is considered and the interface section is precisely des...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
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2002
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| _version_ | 1797078826422894592 |
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| author | Clifford, P Green, N Feng, J Wei, G |
| author_facet | Clifford, P Green, N Feng, J Wei, G |
| author_sort | Clifford, P |
| collection | OXFORD |
| description | There has been little progress in the analysis of two-way diffusion in the last few decades due to the difficulties brought by the interface section similar to a free boundary condition. In this paper, however, the equivalent probability model is considered and the interface section is precisely described by an integral equation. The solution of two-way diffusion is then expressed in an integral form with the integrand being the solution of a classical first passage time model and the solution of a one-dimensional integral equation which is relatively easier to solve. The exact expression of the two-way diffusion enables us to find the explicit solution of the model with infinite horizontal boundaries and without drifting. |
| first_indexed | 2024-03-07T00:37:04Z |
| format | Journal article |
| id | oxford-uuid:81c95961-f0b8-4303-b387-7e49274c35aa |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:37:04Z |
| publishDate | 2002 |
| record_format | dspace |
| spelling | oxford-uuid:81c95961-f0b8-4303-b387-7e49274c35aa2022-03-26T21:32:40ZProbability representations of a class of two-way diffusionsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:81c95961-f0b8-4303-b387-7e49274c35aaEnglishSymplectic Elements at Oxford2002Clifford, PGreen, NFeng, JWei, GThere has been little progress in the analysis of two-way diffusion in the last few decades due to the difficulties brought by the interface section similar to a free boundary condition. In this paper, however, the equivalent probability model is considered and the interface section is precisely described by an integral equation. The solution of two-way diffusion is then expressed in an integral form with the integrand being the solution of a classical first passage time model and the solution of a one-dimensional integral equation which is relatively easier to solve. The exact expression of the two-way diffusion enables us to find the explicit solution of the model with infinite horizontal boundaries and without drifting. |
| spellingShingle | Clifford, P Green, N Feng, J Wei, G Probability representations of a class of two-way diffusions |
| title | Probability representations of a class of two-way diffusions |
| title_full | Probability representations of a class of two-way diffusions |
| title_fullStr | Probability representations of a class of two-way diffusions |
| title_full_unstemmed | Probability representations of a class of two-way diffusions |
| title_short | Probability representations of a class of two-way diffusions |
| title_sort | probability representations of a class of two way diffusions |
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