Analysis of Reflected Diffusions via an Exponential Time-Based Transformation

Author:

Di Crescenzo Antonio,Giorno Virginia,Nobile Amelia G.

Publisher

Springer Science and Business Media LLC

Subject

Mathematical Physics,Statistical and Nonlinear Physics

Reference49 articles.

1. Abramowitz, M., Stegun, I.A.: Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Dover, New York (1992)

2. Abundo, M.: On some properties of one-dimensional diffusion processes on an interval. Probab. Math. Stat. 17, 277–310 (1997)

3. Araujo, M.T., Drigo Filho, E.: A general solution of the Fokker-Planck equation. J. Stat. Phys. 146, 610–619 (2012)

4. Bluman, G.W.: On the transformation of diffusion processes into the Wiener process. SIAM J. Appl. Math. 39, 238–247 (1980)

5. Bluman, G., Shtelen, V.: Nonlocal transformations of Kolmogorov equations into the backward heat equation. J. Math. Anal. Appl. 291, 419–437 (2004)

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