Differential representation of a bivariate inverse Gaussian process

In this paper we extend the method of Bernstein using some concepts of differential geometry and prove the existence of a partial differential equation which when solved under suitable boundary conditions leads to a density of a bivariate inverse Gaussian process.

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Year of publication:	1973
Authors:	Wasan, M. T. ; Buckholtz, P.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 3.1973, 2, p. 243-247
Publisher:	Elsevier
Keywords:	Inverse Gaussian process first passage times Kolmogorov-Bernstein differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199357