Probability representations of a class of two-way diffusions

Journal article

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.

Authors: Clifford, P; Green, N; Feng, J; Wei, G

• Publication status: Published
• Journal: JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL
• Volume: 35
• Issue: 28
• Pages: 5795-5805
• Publication date: 2002-07-19
• DOI: 10.1088/0305-4470/35/28/301
• ISSN: 0305-4470
• Language: English