The method earlier introduced for one-dimensional diffusion processes [6] is extended to
obtain closed form expressions for the transition pdf's of two-dimensional diffusion …

Special symmetry conditions on the transition pdf of one-dimensional time-homogeneous
diffusion processes with natural boundaries are investigated and exploited to derive closed …

A procedure is indicated to estimate first-passage-time pdf's through varying boundaries for
a class of diffusion processes that can be transformed into the Wiener process by rather …

Under a reasonable assumption the numerical procedure given in Buonocore et. al.(1987)
to evaluate first-passage-time pdf's for one dimensional diffusion processes is modified in …

In Giorno et al.(1988) a new method for constructing first-passage-time probability density
functions is outlined. This rests on the possibility of constructing the transition pdf of a new …

One dimensional diffusion processes have been increasingly invoked to model a variety of
biological, physical and engineering systems subject to random fluctuations (cf., for instance …

A sufficient condition is given such that the marginal conditional pdf of an n-dimensional
diffusion process (n> 1) originating at an assigned point in the diffusion region reduces to …

The first-passage-time pdf through a time-dependent boundary for one-dimensional
diffusion processes is proved to satisfy a new Volterra integral equation of the second kind …

The algorithm given by Buonocore et al.[1] to evaluate first-passage-time pdf's for Wiener
and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a …

The asymptotic behavior of the first-passage-time pdf through a constant boundary is studied
when the boundary approaches the endpoints of the diffusion interval. We show that for a …