On the solution of the Fokker–Planck equation for a Feller process
Keyword(s):
Use of one-parameter group transformations is made to obtain the transition p.d.f. of a Feller process confined between the origin and a hyperbolic-type boundary. Such a procedure, previously used by Bluman and Cole (cf., for instance, [4]), although useful for dealing with one-dimensional diffusion processes restricted between time-varying boundaries, does not appear to have been sufficiently exploited to obtain solutions to the diffusion equations associated to continuous Markov processes.
2005 ◽
Vol 45
(4)
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pp. 781-806
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2014 ◽
Vol 13
(04)
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pp. 1430001
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Keyword(s):
1980 ◽
Vol 16
(2)
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pp. 355-376
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1989 ◽
Vol 54
(3-4)
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pp. 1065-1080
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1990 ◽
Vol 27
(01)
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pp. 102-114
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