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.

On the solution of the Fokker-Plank equation for Feller process

SACERDOTE, Laura Lea
1990-01-01

Abstract

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.
1990
22
101
110
Feller Process; transition probability density; group transformation; time depending boundary
L. SACERDOTE
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/106288
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