Entrance laws for Feller diffusions on (0, [infinity]) and Doob's h-path transformation

A. Bose

Journal of Multivariate Analysis, 1983, vol. 13, issue 3, 442-463

Abstract: We consider the problem of constructing entrance laws for Feller diffusions on the state space (0, [infinity]). Our method, based on Feller-McKean theory of one-dimensional diffusions, gives an analytic expression for the entrance density in terms of transition density. Moreover, the entrance density is the density of the first passage time to the left boundary {0}. Also, the entrance density is related to the transition density via Doob's h-path transformation.

Keywords: Entrance; law; diffusion; first; passage; time; h-path; transformation (search for similar items in EconPapers)
Date: 1983
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(83)90020-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:13:y:1983:i:3:p:442-463

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().