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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 17, Fasc. 2,
pages 277 - 310
 

ON SOME PROPERTIES OF ONE-DIMENSIONAL DIFFUSION PROCESSES ON AN INTERVAL

Mario Abundo

Abstract: Some equations are obtained for the moments of the first passage time of a one-dimensional time-homogeneous diffusion process, through each of two accessible boundaries a and b, given that the process has started from x (- (a,b). Some examples are considered and the results are graphically shown. Moreover, a special class of one-dimensional diffusions, of peculiar importance in biological modeling, is considered; the first passage times, and other properties such as ergodicity and reversibility of the stationary distribution, are investigated for these processes.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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