Differential representation of a bivariate inverse Gaussian process

M. T. Wasan and P. Buckholtz

Journal of Multivariate Analysis, 1973, vol. 3, issue 2, 243-247

Abstract: In this paper we extend the method of Bernstein using some concepts of differential geometry and prove the existence of a partial differential equation which when solved under suitable boundary conditions leads to a density of a bivariate inverse Gaussian process.

Keywords: Inverse; Gaussian; process; first; passage; times; Kolmogorov-Bernstein; differential; equation (search for similar items in EconPapers)
Date: 1973
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