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
Publication date: 11 July 2001
Published in: Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)
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 (6)
- 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
- 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
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