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On the solution of the Fokker–Planck equation for a Feller process

Published online by Cambridge University Press:  01 July 2016

L. Sacerdote
L. Sacerdote*
Affiliation:
University of Salerno
*
∗Postal address: Dipartimento di Informatica e Applicazioni, Facoltà di Scienze, Università di Salerno, 84100 Salerno, Italy.
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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.

Keywords

TIME-VARYING BOUNDARIESONE-PARAMETER GROUP TRANSFORMATIONS
Type
Research Article
Information
Advances in Applied Probability , Volume 22 , Issue 1 , March 1990 , pp. 101 - 110
Copyright
Copyright © Applied Probability Trust 1990 

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References

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