Hostname: page-component-848d4c4894-5nwft Total loading time: 0 Render date: 2024-05-21T00:13:55.409Z Has data issue: false hasContentIssue false

On first-passage-time and transition densities for strongly symmetric diffusion processes

Published online by Cambridge University Press:  22 January 2016

A. Di Crescenzo
Affiliation:
Dipartimento di Matematica e Applicazioni, University of Naples “Federico II”, via Cintia-80126 Naples, Italy
V. Giorno
Affiliation:
Dipartimento di Informatica e Applicazioni, University of Salerno, via S. Allende-84081 Baronissi (SA), Italy
A. G. Nobile
Affiliation:
Dipartimento di Informatica e Applicazioni, University of Salerno, via S. Allende-84081 Baronissi (SA), Italy
L. M. Ricciardi
Affiliation:
Dipartimento di Matematica e Applicazioni, University of Naples “Federico II”, via Cintia-80126 Naples, Italy
Rights & Permissions [Opens in a new window]

Extract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

One dimensional diffusion processes have been increasingly invoked to model a variety of biological, physical and engineering systems subject to random fluctuations (cf., for instance, Blake, I. F. and Lindsey, W. C. [2], Abrahams, J. [1], Giorno, V. et al [10] and references therein). However, usually the knowledge of the ‘free’ transition probability density function (pdf) is not sufficient; one is thus led to the more complicated task of determining transition functions in the presence of preassigned absorbing boundaries, or first-passage-time densities for time-dependent boundaries (see, for instance, Daniels, H. E. [6], [7], Giorno, V. et al. [10]). Such densities are known analytically only in some special instances so that numerical methods have to be implemented in general (cf., for instance, Buono-core, A. et al [3], [4], Giorno, V. et al [11]). The analytical approach becomes particularly effective when the diffusion process exhibits some special features, such as the symmetry of its transition pdf. For instance, in [10] special symmetry conditions on the transition pdf of one-dimensional time-homogeneous diffusion process with natural boundaries are investigated to derive closed form results concerning the transition pdf’s and the first-passage-time pdf for particular time-dependent boundaries. On the other hand, by using the method of images, in [6] Daniels has obtained a closed form expression for the transition pdf of the standard Wiener process in the presence of a particular time-dependent absorbing boundary. It is interesting to remark that such density cannot be obtained via the methods described in [10], even though the considered process exhibits the kind of symmetry discussed therein.

Type
Research Article
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1997

References

[ 1 ] Abrahams, J., A survey of recent progress on level-crossing problems for random processes, In Communications and Networks, A Survey of Recent Advances (Blake, I.F. and Poor, H. V., eds.), (1986) 625. Springer-Verlag, New York.Google Scholar
[ 2 ] Blake, I. F. and Lindsey, W.C., Level-crossing problems for random processes, IEEE Trans. Inform/Theory, IT-19 (1973), 295315.Google Scholar
[ 3 ] Buonocore, A., Giorno, V., Nobile, A.G. and Ricciardi, L.M., On the two-boundary first-crossing-time problem for diffusion processes, J. Appl. Prob., 27 (1990), 102114.Google Scholar
[ 4 ] Buonocore, A., Nobile, A.G. and Ricciardi, L.M., A new integral equation for the evaluation of first-passage-time probability densities, Adv. Appl. Prob., 19 (1987), 784800.Google Scholar
[ 5 ] Cox, D. R. and Miller, H.D., The Theory of Stochastic Processes, Chapman and Hall, London., (1965).Google Scholar
[ 6 ] Daniels, H.E., The minimun of a stationary Markov process superimposed on a U-shaped trend, J. Appl. Prob., 6 (1969), 399408.Google Scholar
[ 7 ] Daniels, H.E., Sequential tests constructed from images, Ann. Stat, 10, N. 2 (1982), 394400.Google Scholar
[ 8 ] Feller, W., The parabolic differential equations and the associated semi-groups of transformations, Ann. Math., 55 (1952), 468518.Google Scholar
[ 9 ] Feller, W., Diffusion processes in one dimension, Trans. Amer. Math. Soc, 77 (1954), 131.Google Scholar
[10] Giorno, V., Nobile, A.G. and Ricciardi, L.M., A symmetry-based constructive approach to probability densities for one-dimensional diffusion processes, J. Appl. Prob., 27 (1989), 707721.Google Scholar
[11] Giorno, V., Nobile, A.G., Ricciardi, L.M. and Sato, S., On the evaluation of first-passage-time probability densities via non-singular integral equations, Adv. Appl. Prob., 21 (1989), 2036.Google Scholar