Probability representations of a class of two-way diffusions

نویسندگان

  • P Clifford
  • N J B Green
  • J F Feng
چکیده

There has been little progress in the analysis of two-way diffusion in the last few decades due to the difficulties brought by the interface section similar to a free boundary condition. In this paper, however, the equivalent probability model is considered and the interface section is precisely described by an integral equation. The solution of two-way diffusion is then expressed in an integral form with the integrand being the solution of a classical first passage time model and the solution of a one-dimensional integral equation which is relatively easier to solve. The exact expression of the two-way diffusion enables us to find the explicit solution of the model with infinite horizontal boundaries and without drifting. PACS numbers: 02.50.Cw, 05.40.−a, 68.35.Fx

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تاریخ انتشار 2002