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The density of bounded diffusions

  • Author(s): Saphores, Jean-Daniel M
  • et al.
Abstract

This paper presents a methodology for deriving the closed-form density of diffusions restricted to finite intervals with reflecting or absorbing barriers. Bounded diffusions are useful, for example, in finance, resource economics, or industrial organization. Results are derived for popular diffusions. (C) 2004 Elsevier B.V. All rights reserved.

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