Probability representations of a class of two-way diffusions

P Clifford, N J B Green, J F Feng, G Wei
2002 Journal of Physics A: Mathematical and General  
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
more » ... f 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.
doi:10.1088/0305-4470/35/28/301 fatcat:hvgb3xnmd5gxpc54soeop6e6re