Exact solutions and asymptotic behaviors for the reflected Wiener, Ornstein-Uhlenbeck and Feller diffusion processes

Abstract

We analyze the transition probability density functions in the presence of a zero-flux condition in the zero-state and their asymptotic behaviors for the Wiener, Ornstein Uhlenbeck and Feller diffusion processes. Particular attention is paid to the time-inhomogeneous proportional cases and to the time-homogeneous cases. A detailed study of the moments of first-passage time and of their asymptotic behaviors is carried out for the time-homogeneous cases. Some relationships between the transition probability density functions for the restricted Wiener, Ornstein-Uhlenbeck and Feller processes are proved. Specific applications of the results to queueing systems are provided.

Keywords

• reflected diffusion processes
• transition probability density functions
• steady-state densities
• first-passage time moments
• asymptotic behaviors