A probabilistic representation for the solution of a problem of mathematical physics
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Publication:2722158
DOI10.1023/A:1010388321016zbMATH Open0971.60072MaRDI QIDQ2722158FDOQ2722158
Authors: M.Ī. Portenko 
Publication date: 11 July 2001
Published in: Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)
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Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65) Local time and additive functionals (60J55)
Cited In (8)
- On first hitting times for skew CIR processes
- First hitting times for doubly skewed Ornstein-Uhlenbeck processes
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
- A probabilistic interpretation of the transmission conditions using the skew Brownian motion
- Skew CIR process, conditional characteristic function, moments and bond pricing
- Multi-skewed Brownian motion and diffusion in layered media
- Hitting times for sticky skew CIR process
- Initial boundary value problems in a bounded domain: probabilistic representations of solutions and limit theorems. II
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