Journal of Engineering and Applied Sciences

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Diffusion Processes with Reflecting Boundaries and Random Initial States

Lefebvre Mario
Page: 241-243 | Received 21 Sep 2022, Published online: 21 Sep 2022

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Abstract

Kolmogorov forward equation for one-dimensional time-homogeneous diffusion processes X(t) is considered. This equation is solved explicitly for the Wiener and the Ornstein-Uhlenbeck processes, in particular, in the case when there is a (time-dependent) reflecting boundary. Moreover, the initial state X(0) is a random variable.

How to cite this article:

Lefebvre Mario . Diffusion Processes with Reflecting Boundaries and Random Initial States.
DOI: https://doi.org/10.36478/jeasci.2007.241.243
URL: https://www.makhillpublications.co/view-article/1816-949x/jeasci.2007.241.243