Entrance laws for Feller diffusions on (0, ∞) and Doob's h-path transformation |
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Authors: | A Bose |
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Institution: | Carleton University, Ottawa, Canada |
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Abstract: | We consider the problem of constructing entrance laws for Feller diffusions on the state space (0, ∞). Our method, based on Feller-McKean theory of one-dimensional diffusions, gives an analytic expression for the entrance density in terms of transition density. Moreover, the entrance density is the density of the first passage time to the left boundary {0}. Also, the entrance density is related to the transition density via Doob's h-path transformation. |
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Keywords: | 60J60 Entrance law diffusion first passage time |
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