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 …

General methods to simulate probability density functions and first passage time densities
are provided for time-inhomogeneous stochastic diffusion processes obtained via a …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …