On the transition densities for reflected diffusions

By Vadim Linetsky. Advances in Applied Probability, 2005

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A Random Walk on Rectangles Algorithm (2006, background): “Two different explicit formulae for pµ(t, x, y) with Neumann boundary conditions at both −1 and 1 may be found in the articles Linetsky (2005) (for the spectral problem) and Veestraeten (2005) (where a formula similar to (3a) is given by inverting Laplace transforms).”
On the conditional default probability in a regulated market: a structural approach (2011, unknown): “If X¼ (Xt)t 0 is a (Gt)t 0-adapted random process on , we denote its transition distribution by FXðt;dxÞ :¼ PðXt 2 dxÞ, t 0: On the other hand, from Linetsky (2005), we have the following lemma.”
The calculation of expectations for classes of diffusion processes by Lie symmetry methods (2009, background): “The literature is enormous, but see [14] for some recent work.”