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Extensions of diffusion processes on intervals and Feller's boundary conditions
Extensions of diffusion processes intervals Feller's boundary conditions Probability
2012/4/17
For a minimal diffusion process on $ (a,b) $, any possible extension of it to a standard process on $ [a,b] $ is characterized by the characteristic measures of excursions away from the boundary point...
Sensitivity analysis for diffusion processes constrained to an orthant
Sensitivity analysis diffusion processes Probability
2011/9/8
Abstract: This paper studies diffusion processes constrained to the positive orthant, and investigates changes in the steady-state distribution of such diffusions under infinitesimal changes in the dr...