On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation

Jaume Masoliver and George H. Weiss

Physica A: Statistical Mechanics and its Applications, 1993, vol. 195, issue 1, 93-100

Abstract: Recently Orsingher (1990) has derived bounds on the probability distribution of the maximum displacement of a one-dimensional diffusion process whose evolution is described by a telegrapher's equation. Foong has given more precise results for related variables. In this paper we derive an exact expression for this distribution as well as the joint distribution of the minimum and maximum displacements.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:195:y:1993:i:1:p:93-100

DOI: 10.1016/0378-4371(93)90255-3

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