PROBABILITY DENSITIES FOR DIFFUSION PROCESSES WITH APPLICATIONS TO NONLINEAR FILTERING THEORY AND DETECTION THEORY

1967 ◽  
Author(s):  
T. E. Duncan
Keyword(s):  
Nonlinear Filtering ◽  
Diffusion Processes ◽  
Detection Theory ◽  
Filtering Theory ◽  
Probability Densities

A symmetry-based constructive approach to probability densities for one-dimensional diffusion processes

1989 ◽  
Vol 26 (4) ◽  
pp. 707-721 ◽  
Author(s):  
V. Giorno ◽  
A. G. Nobile ◽  
L. M. Ricciardi
Keyword(s):  
Diffusion Processes ◽  
First Passage Time ◽  
Passage Time ◽  
Constructive Approach ◽  
First Passage ◽  
One Dimensional ◽  
Dimensional Diffusion ◽  
Probability Densities ◽  
Reflecting Boundaries ◽  
Natural Boundaries

Special symmetry conditions on the transition p.d.f. of one-dimensional time-homogeneous diffusion processes with natural boundaries are investigated and exploited to derive closed-form results concerning the transition p.d.f.'s in the presence of absorbing and reflecting boundaries and the first-passage-time p.d.f. through time-dependent boundaries.

Sign in / Sign up

Export Citation Format

Share Document