Diffusion Processes with a Weakly Absorbing Barrier
Petr Mandl · Theory of Probability and Its Applications · 1964
The paper discusses homogeneous diffusion processes on $[ {0,\infty } )$ whose behavior on the boundary $x = 0$ is determined by condition (1), where the parameter $\varepsilon $ characterizes the intensity of absorption of the process on the boundary. The limiting behavior of the distribution of the duration of the process, as $\varepsilon \to 0$, is examined.