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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...
Time Reversal of Some Stationary Jump-Diffusion Processes from Population Genetics
Jump-Diffusion Processes Population Genetics
2010/11/19
We describe the processes obtained by time reversal of a class of stationary jump-diffusion processes that model the dynamics of genetic variation in populations subject to repeated bottlenecks. Assu...
Laguerre and Meixner symmetric functions, and infinite-dimensional diffusion processes
Laguerre Meixner symmetric functions infinite-dimensional diffusion processes
2010/12/3
The Laguerre symmetric functions introduced in the note are indexed by arbitrary partitions and depend on two continuous parameters. The top degree homogeneous component of every Laguerre symmetric fu...