Sticky Bessel diffusions

DOI10.1016/j.spa.2020.12.009zbMath1491.60143OpenAlexW3128339941MaRDI QIDQ2145813

Goran Peskir

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.12.009

zbMATH Keywords

Mittag-Leffler functionstochastic differential equationBessel processtransition probability density functiongeneralised Abel equationslowly reflecting (sticky) boundary behaviour

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Integral representations of solutions to PDEs (35C15) Diffusion processes (60J60) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Stochastic integral equations (60H20) Singular parabolic equations (35K67)

Related Items

Sticky Feller diffusions

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