Elementary Solutions for Certain Parabolic Partial Differential Equations
From MaRDI portal
Publication:3232485
DOI10.2307/1993060zbMath0070.32003OpenAlexW4240764284MaRDI QIDQ3232485
Publication date: 1956
Full work available at URL: https://doi.org/10.2307/1993060
Related Items (82)
Some bivariate stochastic models arising from group representation theory ⋮ Diffusion transformations, Black-Scholes equation and optimal stopping ⋮ TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING ⋮ An extension of Kotani's theorem to random generalized Sturm-Liouville operators ⋮ A unifying approach to non-minimal quasi-stationary distributions for one-dimensional diffusions ⋮ Additive subordination and its applications in finance ⋮ Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ The vibrating string forced by white noise ⋮ The spectral representation of Bessel processes with constant drift: applications in queueing and finance ⋮ Hitting and martingale characterizations of one-dimensional diffusions ⋮ On the occupation time on the half line of pinned diffusion processes ⋮ The spectral expansion approach to index transforms and connections with the theory of diffusion processes ⋮ Constant elasticity of variance models with target zones ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Unnamed Item ⋮ Heavy-tailed fractional Pearson diffusions ⋮ Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations ⋮ Feynman–Kac theorems for generalized diffusions ⋮ Linear inverse problems for Markov processes and their regularisation ⋮ The hitting time density for a reflected Brownian motion ⋮ Drawdowns and the speed of market crash ⋮ Absorption and fixation times for neutral and quasi-neutral populations with density dependence ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Convergence of time changed skew product diffusion processes ⋮ Reproduction of initial distributions from the first hitting time distribution for birth-and-death processes ⋮ Intrinsic ultracontractivity and uniform convergence to the \(Q\)-process for symmetric Markov processes ⋮ Minimal subharmonic functions and related integral representations ⋮ Renewal dynamical approach for non-minimal quasi-stationary distributions of one-dimensional diffusions ⋮ Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation ⋮ Interlacing Diffusions ⋮ Conditional processes induced by birth and death processes ⋮ A limit theorem for particle numbers in bounded domains of a branching diffusion process ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ On the transition densities for reflected diffusions ⋮ A large deviation principle for symmetric Markov processes with Feynman-Kac functional ⋮ Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes ⋮ Intrinsic ultracontractivity and small perturbation for one-dimensional generalized diffusion operators ⋮ Birth and death processes and quantum spin chains ⋮ Simple systems with anomalous dissipation and energy cascade ⋮ Excursions of a non-singular diffusion ⋮ TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS ⋮ PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH ⋮ Feller property of skew product diffusion processes ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ \(W\)-Sobolev spaces ⋮ Eigenvalue expansions for diffusion hitting times ⋮ Matrix-valued SzegoÌ polynomials and quantum random walks ⋮ Brownian first exit from and sojourn over one sided moving boundary and application ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients ⋮ A unified construction of product formulas and convolutions for Sturm-Liouville operators ⋮ \(G\)-spaces, the asymptotic splitting of \(L^2(M)\) into irreducibles ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications ⋮ Spectral decomposition of fractional operators and a reflected stable semigroup ⋮ On h-Transforms of One-Dimensional Diffusions Stopped upon Hitting Zero ⋮ \(G\)-spaces, the asymptotic splitting of \(L2(M)\) into irreducibles ⋮ Markov bridges: SDE representation ⋮ On constructive complex analysis in finance: Explicit formulas for Asian options ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ Time reversal of some stationary jump diffusion processes from population genetics ⋮ Singular Parabolic Partial Differential Equations with Time Dependent Coefficients ⋮ Variance Swaps on Defaultable Assets and Market Implied Time-Changes ⋮ Total Positivity, Absorption Probabilities and Applications ⋮ Slow learning with small drift in two-absorbing-barrier models ⋮ An introduction to de Branges spaces of entire functions with applications to differential equations of the Sturm-Liouville type ⋮ Branching one-dimensional periodic diffusion processes ⋮ MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS ⋮ Spectral representation for branching processes with immigration on the real half line ⋮ Brownian motion on the hyperbolic plane and Selberg trace formula ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ The saturation class and iterates of the Bernstein polynomials ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology ⋮ Equivalent measure changes for subordinate diffusions ⋮ The one-dimensional diffusion process and unitary representations of \(R^ 1\). ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values ⋮ A stochastic model for cell adhesion to the vascular wall ⋮ Lévy processes with respect to the Whittaker convolution ⋮ Entrance laws for Feller diffusions on (0,infinity) and Doob's h-path transformation ⋮ Total Positivity of Fundamental Solutions of Parabolic Equations ⋮ Spectral theory of branching processes. I ⋮ Markov chain approximation of one-dimensional sticky diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
- Zur Theorie der stochastischen Prozesse. (Existenz- und Eindeutigkeitssätze.)
- A simplified proof of the expansion theorem for singular second order linear differential equations
- Addendum to ``A simplified proof of the expansion theorem for singular second order linear differential equations
- The parabolic differential equations and the associated semigroups of transformation
- The general diffusion operator and positivity preserving semigroups in one dimension
- The abstract Cauchy problem and Cauchy's problem for parabolic differential equations
- On second order differential operators
- REPRESENTATION OF A CLASS OF STOCHASTIC Processes
- The Eigenvalue Problem for Ordinary Differential Equations of the Second Order and Heisenberg's Theory of S-Matrices
- On Titchmarsh-Kodaira’s Formula concerning Weyl-Stone’s Eigenfunction Expansion
- Spectral theory for the differential equations of simple birth and death processes
- Eigenfunction Expansions Associated With Singular Differential Operators
This page was built for publication: Elementary Solutions for Certain Parabolic Partial Differential Equations