A detailed study of the asymptotic behavior of the first-passage-time pdf and its moments is
carried out for an unrestricted conditional Ornstein-Uhlenbeck process and for a constant …

This paper is concerned with the generalized Fokker-Planck equation for a class of
stochastic hybrid processes, where diffusion and instantaneous jumps at the boundary are …

ON PASTING TOGETHER TWO INHOMOGENEOUS DIFFUSION PROCESSES ON A LINE
WITH THE GENERAL FELLER–WENTZELL CONJUGATION CONDITION 1. Page 1 Theory …

We start by introducing a nonlinear involution operator which maps the space of solutions of
Sturm-Liouville equations into the space of solutions of the associated equations which turn …

We study a stochastic process X t which is a particular case of the Rayleigh process and
whose square is the Bessel process, with various applications in physics, chemistry, biology …

d(t) a(t, (t))dtq-r(t, (t))dw(t), Page 1 THEORY OF PROBABILITY Volume v. AND ITS
APPLICATIONS Number 3 1961 STOCHASTIC EQUATIONS FOR DIFFUSION …

A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on
hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges …

Let ψ a; a ε ℝ be a sequence of curved boundaries which tend to infinity as a increases. Let
T_a=\inf {t> 0| W (t)\geqq ψ _a (t)\} where W (t) denotes the standard Brownian motion …

Let W (t) denote a standard Wiener process for. We compute the probability that W (t)≥ g (t)
for some (or for some) for a certain class of functions g (t), including functions which …

Geometric Properties of Some Familiar Diffusions in Rⁿ Page 1 The Annals of
Probability 1993, Vol. 21, No. 1, 482-489 GEOMETRIC PROPERTIES OF SOME FAMILIAR …