On the Absorbing Problems for Wiener, Ornstein–Uhlenbeck, and Feller Diffusion Processes: Similarities and Differences

Abstract

For the Wiener, Ornstein–Uhlenbeck, and Feller processes, we study the transition probability density functions with an absorbing boundary in the zero state. Particular attention is paid to the proportional cases and to the time-homogeneous cases, by obtaining the first-passage time densities through the zero state. A detailed study of the asymptotic average of local time in the presence of an absorbing boundary is carried out for the time-homogeneous cases. Some relationships between the transition probability density functions in the presence of an absorbing boundary in the zero state and between the first-passage time densities through zero for Wiener, Ornstein–Uhlenbeck, and Feller processes are proven. Moreover, some asymptotic results between the first-passage time densities through zero state are derived. Various numerical computations are performed to illustrate the role played by parameters.

Keywords

• Wiener process
• Ornstein–Uhlenbeck process
• Feller process
• asymptotic average of the local time
• first-passage time and its moments