A closed form solution to one dimensional Robin boundary problems (Q692683): Difference between revisions

Motivated by some biological problems, using a stochastic differential equations approach, the authors provide a closed form solution to one-dimensional partially absorbing boundary problems, known as Robin boundary problems. In Section~1, they give a general introduction presenting the models discussed in this article, involving reflecting and absorbing boundary which correspond, respectively, to reflected and absorbed Brownian motion. Section~2 is devoted to the case of Robin boundary problems with one boundary and they use Girsanov's theorem in order to obtain a closed form solution to both the reflected and the absorbed boundary case. Finally, Section~3 deals with these two cases for the associated Robin problems with two boundaries.