Elementary Solutions for Certain Parabolic Partial Differential Equations

DOI10.2307/1993060zbMath0070.32003OpenAlexW4240764284MaRDI QIDQ3232485

H. P. jun. McKean

Publication date: 1956

Full work available at URL: https://doi.org/10.2307/1993060

zbMATH Keywords

partial differential equations

Related Items

Some bivariate stochastic models arising from group representation theory, Diffusion transformations, Black-Scholes equation and optimal stopping, TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING, An extension of Kotani's theorem to random generalized Sturm-Liouville operators, A unifying approach to non-minimal quasi-stationary distributions for one-dimensional diffusions, Additive subordination and its applications in finance, Evaluating callable and putable bonds: an eigenfunction expansion approach, The vibrating string forced by white noise, The spectral representation of Bessel processes with constant drift: applications in queueing and finance, Hitting and martingale characterizations of one-dimensional diffusions, On the occupation time on the half line of pinned diffusion processes, The spectral expansion approach to index transforms and connections with the theory of diffusion processes, Constant elasticity of variance models with target zones, An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach, Unnamed Item, Heavy-tailed fractional Pearson diffusions, Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations, Feynman–Kac theorems for generalized diffusions, Linear inverse problems for Markov processes and their regularisation, The hitting time density for a reflected Brownian motion, Drawdowns and the speed of market crash, Absorption and fixation times for neutral and quasi-neutral populations with density dependence, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, Convergence of time changed skew product diffusion processes, Reproduction of initial distributions from the first hitting time distribution for birth-and-death processes, Intrinsic ultracontractivity and uniform convergence to the \(Q\)-process for symmetric Markov processes, Minimal subharmonic functions and related integral representations, Renewal dynamical approach for non-minimal quasi-stationary distributions of one-dimensional diffusions, Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation, Interlacing Diffusions, Conditional processes induced by birth and death processes, A limit theorem for particle numbers in bounded domains of a branching diffusion process, Time-changed CIR default intensities with two-sided mean-reverting jumps, Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models, An exponential timestepping algorithm for diffusion with discontinuous coefficients, On the transition densities for reflected diffusions, A large deviation principle for symmetric Markov processes with Feynman-Kac functional, Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes, Intrinsic ultracontractivity and small perturbation for one-dimensional generalized diffusion operators, Birth and death processes and quantum spin chains, Simple systems with anomalous dissipation and energy cascade, Excursions of a non-singular diffusion, TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS, PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH, Feller property of skew product diffusion processes, Option Pricing in Some Non-Lévy Jump Models, \(W\)-Sobolev spaces, Eigenvalue expansions for diffusion hitting times, Matrix-valued SzegoÌ polynomials and quantum random walks, Brownian first exit from and sojourn over one sided moving boundary and application, Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients, A unified construction of product formulas and convolutions for Sturm-Liouville operators, \(G\)-spaces, the asymptotic splitting of \(L^2(M)\) into irreducibles, Skew Ornstein-Uhlenbeck processes and their financial applications, Spectral decomposition of fractional operators and a reflected stable semigroup, On h-Transforms of One-Dimensional Diffusions Stopped upon Hitting Zero, \(G\)-spaces, the asymptotic splitting of \(L2(M)\) into irreducibles, Markov bridges: SDE representation, On constructive complex analysis in finance: Explicit formulas for Asian options, Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing, Time reversal of some stationary jump diffusion processes from population genetics, Singular Parabolic Partial Differential Equations with Time Dependent Coefficients, Variance Swaps on Defaultable Assets and Market Implied Time-Changes, Total Positivity, Absorption Probabilities and Applications, Slow learning with small drift in two-absorbing-barrier models, An introduction to de Branges spaces of entire functions with applications to differential equations of the Sturm-Liouville type, Branching one-dimensional periodic diffusion processes, MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS, Spectral representation for branching processes with immigration on the real half line, Brownian motion on the hyperbolic plane and Selberg trace formula, Maximum likelihood estimation of diffusions by continuous time Markov chain, The saturation class and iterates of the Bernstein polynomials, Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology, Equivalent measure changes for subordinate diffusions, The one-dimensional diffusion process and unitary representations of \(R^ 1\)., On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values, A stochastic model for cell adhesion to the vascular wall, Lévy processes with respect to the Whittaker convolution, Entrance laws for Feller diffusions on (0,infinity) and Doob's h-path transformation, Total Positivity of Fundamental Solutions of Parabolic Equations, Spectral theory of branching processes. I, Markov chain approximation of one-dimensional sticky diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
• Zur Theorie der stochastischen Prozesse. (Existenz- und Eindeutigkeitssätze.)
• A simplified proof of the expansion theorem for singular second order linear differential equations
• Addendum to ``A simplified proof of the expansion theorem for singular second order linear differential equations
• The parabolic differential equations and the associated semigroups of transformation
• The general diffusion operator and positivity preserving semigroups in one dimension
• The abstract Cauchy problem and Cauchy's problem for parabolic differential equations
• On second order differential operators
• REPRESENTATION OF A CLASS OF STOCHASTIC Processes
• The Eigenvalue Problem for Ordinary Differential Equations of the Second Order and Heisenberg's Theory of S-Matrices
• On Titchmarsh-Kodaira’s Formula concerning Weyl-Stone’s Eigenfunction Expansion
• Spectral theory for the differential equations of simple birth and death processes
• Eigenfunction Expansions Associated With Singular Differential Operators