Abstract
Time-nonhomogeneous diffusion processes confined by a time dependent reflecting boundary are investigated to obtain a system of integral equations concerning the transition pdf in the presence of the reflecting boundary. For Gauss-Markov processes restricted by particular time dependent reflecting boundaries a closed form solution of the transition pdf is derived. Furthermore, the first passage time problem through time-dependent thresholds is analized and a nonsingular second-kind Volterra integral equation for the first passage time pdf is obtained.
Work performed within a joint cooperation agreement between Japan Science and Technology Corporation (JST) and Università di Napoli Federico II, under partial support by INdAM (G.N.C.S).
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Giorno, V., Nobile, A.G., Pirozzi, E., Ricciardi, L.M. (2003). Towards Some Computational Problems Arising in Biological Modeling. In: Moreno-Díaz, R., Pichler, F. (eds) Computer Aided Systems Theory - EUROCAST 2003. EUROCAST 2003. Lecture Notes in Computer Science, vol 2809. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-45210-2_33
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DOI: https://doi.org/10.1007/978-3-540-45210-2_33
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