Revisiting Feller Diffusion: Derivation and Simulation
Ranjiva Munasinghe, Leslie Kanthan & Pathum Kossinna · Journal of Advances in Mathematics and Computer Science · 2019
We propose a simpler derivation of the probability density function of Feller Diffusion by using the Fourier Transform on the associated Fokker-Planck equation and then solving the resulting equation via the Method of Characteristics. We use the derived probability density to for...
Open access
Research Article
10.9734/jamcs/2019/v33i130169