Authors : Lefebvre Mario
Abstract: Kolmogorov forward equation for one-dimensional time-homogeneous diffusion processes X(t) is considered. This equation is solved explicitly for the Wiener and the Ornstein-Uhlenbeck processes, in particular, in the case when there is a (time-dependent) reflecting boundary. Moreover, the initial state X(0) is a random variable.
Lefebvre Mario , 2007. Diffusion Processes with Reflecting Boundaries and Random Initial States. Journal of Engineering and Applied Sciences, 2: 241-243.