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Probability representations of a class of two-way diffusions

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Published 5 July 2002 Published under licence by IOP Publishing Ltd
, , Citation P Clifford et al 2002 J. Phys. A: Math. Gen. 35 5795 DOI 10.1088/0305-4470/35/28/301

0305-4470/35/28/5795

Abstract

There has been little progress in the analysis of two-way diffusion in the last few decades due to the difficulties brought by the interface section similar to a free boundary condition. In this paper, however, the equivalent probability model is considered and the interface section is precisely described by an integral equation. The solution of two-way diffusion is then expressed in an integral form with the integrand being the solution of a classical first passage time model and the solution of a one-dimensional integral equation which is relatively easier to solve. The exact expression of the two-way diffusion enables us to find the explicit solution of the model with infinite horizontal boundaries and without drifting.

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10.1088/0305-4470/35/28/301