Diffusion Processes with a Weakly Absorbing Boundary
Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 2, pp. 283-292
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The paper discusses homogeneous diffusion processes on $[{0,\infty})$ whose behavior on the boundary $x=0$ is determined by condition (1), where the parameter $\varepsilon$ characterizes the intensity of absorption of the process on the boundary. The limiting behavior of the distribution of the duration of the process, as $\varepsilon \to 0$, is examined.
@article{TVP_1964_9_2_a6,
author = {P. Mandl},
title = {Diffusion {Processes} with {a~Weakly} {Absorbing} {Boundary}},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {283--292},
year = {1964},
volume = {9},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1964_9_2_a6/}
}
P. Mandl. Diffusion Processes with a Weakly Absorbing Boundary. Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 2, pp. 283-292. http://geodesic.mathdoc.fr/item/TVP_1964_9_2_a6/