Transition probability density of a certain diffusion process concentrated on a finite spatial interval
Keyword(s):
We show that under some assumptions a diffusion process satisfying a one-dimensional Itô's equation has a transition probability density concentrated on a finite spatial interval. We give a formula for this density.
2018 ◽
Vol 54
(1)
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pp. 100-140
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Keyword(s):
2004 ◽
Vol 2004
(0)
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pp. _117-1_-_117-5_
2004 ◽
Vol 2004.41
(0)
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pp. 209-210