A peculiar two point boundary value problem

DOI10.1214/009117906000000818MaRDI QIDQ2456023zbMATH OpenOpenAlexFDO

Authors Hua-Dong Pang, Daniel W. Stroock

Publication date 17 October 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0710.2396

zbMATH Keywords

minimum principleOne-dimensional diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Initial-boundary value problems for second-order parabolic equations (35K20)

Abstract: In this paper we consider a one-dimensional diffusion equation on the interval $[0,1]$ satisfying non-Feller boundary conditions. As a consequence, the initial value Cauchy problem fails to preserve nonnegativity or boundedness. Nonetheless, probability theory plays an interesting role in our analysis and understanding of solutions to this equation.

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• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• A simple PDE and Wiener‐Hopf Riccati equations
• Further study of a simple PDE
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Cited in

(5)

• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
• On bivariate distributions of the local time of Itô-McKean diffusions
• Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
• A probabilistic solution to the Stroock-Williams equation
• A highly unstable initial value boundary value problem

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