On the construction of a special class of time-inhomogeneous diffusion processes
A special class of time-inhomogeneous diffusion processes, generated starting from Gauss–
Markov processes conditioned on the same initial state, is considered. This class includes …
Markov processes conditioned on the same initial state, is considered. This class includes …
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 …
A symmetry-based approach for first-passage-times of Gauss-Markov processes through Daniels-type boundaries
E Pirozzi - Symmetry, 2020 - mdpi.com
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 …
specify the probability density functions and the first passage time density through specific …
On the densities of certain bounded diffusion processes
A comprehensive outline is presented for obtaining the Laplace transforms of the transition
probability density functions and of the first-passage-time densities for one-dimensional time …
probability density functions and of the first-passage-time densities for one-dimensional time …
Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
G D'Onofrio, E Pirozzi - Methodology and Computing in Applied …, 2019 - Springer
The problem of escape times from a region confined by two time-dependent boundaries is
considered for a class of Gauss-Markov processes. Asymptotic approximations of the first …
considered for a class of Gauss-Markov processes. Asymptotic approximations of the first …
A functional Stieltjes measure and generalized diffusion processes
H Dekker - Physica A: Statistical Mechanics and its Applications, 1977 - Elsevier
The sum over paths for a generalized Wiener diffusion process has been presented in a
previous paper on the basis of the concept of time-local gaussian processes. This well …
previous paper on the basis of the concept of time-local gaussian processes. This well …
Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
A Mazzolo, C Monthus - Journal of Physics A: Mathematical and …, 2023 - iopscience.iop.org
Joint distribution of two local times for diffusion processes with the application to the
construction of various conditioned processes - IOPscience Skip to content IOP Science home …
construction of various conditioned processes - IOPscience Skip to content IOP Science home …
On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
Making use of the integral equations given in [1],[2] and [3], the asymptotic behaviour of the
first-passage time (FPT) pdf's through certain time-varying boundaries, including periodic …
first-passage time (FPT) pdf's through certain time-varying boundaries, including periodic …
Analysis of reflected diffusions via an exponential time-based transformation
Let X (t) be a time-homogeneous diffusion process with state-space 0,+ ∞) 0,+∞), where 0
is a reflecting or entrance endpoint, and let Z denote a random variable that describes the …
is a reflecting or entrance endpoint, and let Z denote a random variable that describes the …
Fluctuations near homogeneous states of chemical reactions with diffusion
P Kotelenez - Advances in applied probability, 1987 - cambridge.org
Conditions are given under which a space-time jump Markov process describing the
stochastic model of non-linear chemical reactions with diffusion converges to the …
stochastic model of non-linear chemical reactions with diffusion converges to the …
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