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On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation

Recently Orsingher (1990) has derived bounds on the probability distribution of the maximum displacement of a one-dimensional diffusion process whose evolution is described by a telegrapher's equation. Foong has given more precise results for related variables. In this paper we derive an exact expression for this distribution as well as the joint distribution of the minimum and maximum displacements.
Year of publication:
1993
Authors: Masoliver, Jaume ; Weiss, George H.
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 195.1993, 1, p. 93-100
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10010874205
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