Symmetry properties of the Brownian motion and of some diffusion processes are useful to specify the probability density functions and the first passage time density through specific boundaries. Here, we consider the class of Gauss-Markov processes and their symmetry properties. In particular, we study probability densities of such processes in presence of a couple of Daniels-type boundaries, for which closed form results exit. The main results of this paper are the alternative proofs to characterize the transition probability density between the two boundaries and the first passage time density exploiting exclusively symmetry properties. Explicit expressions are provided for Wiener and Ornstein-Uhlenbeck processes.
A symmetry-based approach for first-passage-times of gauss-markov processes through daniels-type boundaries
Pirozzi Enrica
2020
Abstract
Symmetry properties of the Brownian motion and of some diffusion processes are useful to specify the probability density functions and the first passage time density through specific boundaries. Here, we consider the class of Gauss-Markov processes and their symmetry properties. In particular, we study probability densities of such processes in presence of a couple of Daniels-type boundaries, for which closed form results exit. The main results of this paper are the alternative proofs to characterize the transition probability density between the two boundaries and the first passage time density exploiting exclusively symmetry properties. Explicit expressions are provided for Wiener and Ornstein-Uhlenbeck processes.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
