On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
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 …
obtain closed form expressions for the transition pdf's of two-dimensional diffusion …
[PDF][PDF] On the construction of first-passage-time densities for diffusion processes
A new method for constructing first-passage-time probability density functions in the case of
regular one-dimensional time homogeneous diffusion processes restricted between …
regular one-dimensional time homogeneous diffusion processes restricted between …
First-passage-time densities and avoiding probabilities for birth-and-death processes with symmetric sample paths
A Di Crescenzo - Journal of applied probability, 1998 - cambridge.org
For truncated birth-and-death processes with two absorbing or two reflecting boundaries,
necessary and sufficient conditions on the transition rates are given such that the transition …
necessary and sufficient conditions on the transition rates are given such that the transition …
A first-passage-time problem for symmetric and similar two-dimensional birth–death processes
AD Crescenzo, B Martinucci - Stochastic models, 2008 - Taylor & Francis
A spatial symmetry property of a two-dimensional birth–death process X (t) with constant
rates is exploited in order to obtain closed-form expressions for first-passage-time densities …
rates is exploited in order to obtain closed-form expressions for first-passage-time densities …
On the simulation of a special class of time-inhomogeneous diffusion processes
General methods to simulate probability density functions and first passage time densities
are provided for time-inhomogeneous stochastic diffusion processes obtained via a …
are provided for time-inhomogeneous stochastic diffusion processes obtained via a …
On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
M Abundo - Stochastic analysis and applications, 2000 - Taylor & Francis
Some problems of first–crossing times over two time–dependent boundaries for one–
dimensional diffusion processes are considered. The moments of the first–crossing times …
dimensional diffusion processes are considered. The moments of the first–crossing times …
On first-passage-time densities for certain symmetric Markov chains
A Di Crescenzo, A Nastro - arXiv preprint math/0403133, 2004 - arxiv.org
The spatial symmetry property of truncated birth-death processes studied in Di Crescenzo [6]
is extended to a wider family of continuous-time Markov chains. We show that it yields …
is extended to a wider family of continuous-time Markov chains. We show that it yields …
On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries
Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the
asymptotic behavior of the first passage time probability density function through certain time …
asymptotic behavior of the first passage time probability density function through certain time …
On the construction of densities for time non-homogeneous diffusion processes
A new procedure for constructing transition probability density functions and first passage
time densities through constant boundaries is proposed for diffusion processes, in general …
time densities through constant boundaries is proposed for diffusion processes, in general …