A closed form solution to one dimensional Robin boundary problems

DOI10.1007/S10255-012-0156-4MaRDI QIDQ692683zbMATH OpenOpenAlexFDO

Authors Ai-lin Zhu, Chang-Li Yang

Publication date 6 December 2012

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-012-0156-4

zbMATH Keywords

absorbed Brownian motiondiffusion processesFokker-Plank equationGirsanov's formulapartial differential equationsreflected Brownian motionRobin boundary problemstochastic differential equations

Mathematics Subject Classification ID

Second-order parabolic systems (35K40) Applications of operator theory in probability theory and statistics (47N30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Cell biology (92C37)

Review text

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.

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
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Cited in

(2)

• scientific article; zbMATH DE number 6603080 (Why is no real title available?)
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections

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