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Revisiting Feller Diffusion: Derivation and Simulation

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dc.contributor.authorMunasinghe, R
dc.contributor.authorKanthan, L
dc.contributor.authorKossinna, P
dc.date.accessioned2022-04-25T11:12:36Z
dc.date.available2022-04-25T11:12:36Z
dc.date.issued2019-07-13
dc.description.abstractWe 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 simulationen_US
dc.identifier.doidoi.org/10.48550/arXiv.1905.10737 Focus to learn moreen_US
dc.identifier.urihttps://rda.sliit.lk/handle/123456789/2067
dc.language.isoenen_US
dc.relation.ispartofseriesJournal of Advances in Mathematics and Computer Science;Vol 33 Issue 1 Pages 1-15
dc.subjectFeller Diffusionen_US
dc.subjectBessel Squared Process of Dimension Zeroen_US
dc.subjectZero Degrees of Freedomen_US
dc.subjectSquare Root Diffusionen_US
dc.subjectSimulationen_US
dc.subjectMethod of Characteristicsen_US
dc.subjectAbsorbing Random Walksen_US
dc.subjectSurvival Probabilityen_US
dc.subjectHitting Timeen_US
dc.subjectFirst Passage Timeen_US
dc.titleRevisiting Feller Diffusion: Derivation and Simulationen_US
dc.typeArticleen_US
dspace.entity.typePublication

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