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https://rda.sliit.lk/handle/123456789/2067| Title: | Revisiting Feller Diffusion: Derivation and Simulation |
| Authors: | Munasinghe, R Kanthan, L Kossinna, P |
| Keywords: | Feller Diffusion Bessel Squared Process of Dimension Zero Zero Degrees of Freedom Square Root Diffusion Simulation Method of Characteristics Absorbing Random Walks Survival Probability Hitting Time First Passage Time |
| Issue Date: | 13-Jul-2019 |
| Series/Report no.: | Journal of Advances in Mathematics and Computer Science;Vol 33 Issue 1 Pages 1-15 |
| Abstract: | We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation |
| URI: | http://rda.sliit.lk/handle/123456789/2067 |
| Appears in Collections: | Research Papers - SLIIT Staff Publications |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 1905.10737.pdf | 712.69 kB | Adobe PDF | View/Open |
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