We obtain explicit solutions for the density $\varphi_T $ of the first-time $ T $ that a one-
dimensional Brownian process $ B $ reaches the twice, continuously differentiable moving …

By analytical method we obtain the integral representation of a two-parameter semigroup of
operators associated with Feller process on a line which is a result of pasting together given …

Let (B^{(1)} _t; B^{(2)} _t; B^{(3)} _t+\mu t) be a three-dimensional Brownian motion with
drift\mu, starting at the origin. Then X_t=||(B^{(1)} _t; B^{(2)} _t; B^{(3)} _t+\mu t)||, its distance …

The purpose of this paper is to show that smoothness conditions on the diffusion and drift
coefficient of a one-dimensional stochastic differential equation imply the existence and …

TRANSITION PROBABILITY DENSITY OF A CERTAIN DIFFUSION PROCESS
CONCENTRATED ON A FINITE SPATIAL INTERVAL 1. Introduction Diffusio Page 1 J.Appl.Prob.29,334-342(1992) …

In this article, we are interested in studying the transition density function of the couple given
by the first hitting time of a fixed threshold by a one-dimensional uniformly elliptic diffusion …

AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN
ELLIPTIC DIFFUSION PROCESS* Page 1 Available online at www.sciencedirect.com scIE.c.@D~FiEcT …

Similarity solutions of first-passage problems for two-dimensional Wiener processes 1 Page 1
ELSEVIER Statistics & Probability Letters 29 (1996) 185-189 STATISTICS& PROBABILITY …

Symmetry properties of the Brownian motion and of some diffusion processes are useful to
specify the probability density functions and the first passage time density through specific …

In this paper we study the transition density and exponential ergodicity in total variation for
an affine process on the canonical state space $\mathbb {R} _ {\geq0}^{m}\times\mathbb …