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

partial differential equationsstochastic differential equationsdiffusion processesreflected Brownian motionRobin boundary problemGirsanov's formulaFokker-Plank equationabsorbed Brownian motion

Mathematics Subject Classification ID

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

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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?)
• Incorporating Diffusion in Complex Geometries into Stochastic Chemical Kinetics Simulations
• On conditional diffusion processes
• Sharp bounds for transition probability densities of a class of diffusions
• Stochastic simulation of coupled reaction-diffusion processes

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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