The analytic solutions of some boundary layer problems in the theory of Brownian motion

DOI10.1088/0305-4470/20/6/018zbMath0634.35075OpenAlexW2044225160MaRDI QIDQ3772639

Trevor W. Marshall, E. J. Watson

Publication date: 1987

Published in: Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0305-4470/20/6/018

zbMATH Keywords

first passage timesGreen functionMilne problemanalytic calculationAlbedo problemOrnstein-Uhlenbeck particle

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Diffusion processes (60J60) Partial differential equations of mathematical physics and other areas of application (35Q99)

Related Items (5)

On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries ⋮ Half-range completeness for the Fokker-Planck equation with an external force ⋮ Half-range expansion analysis for Langewin dynamics in the high-friction limit with a singular absorbing boundary condition: noncharacteristic case ⋮ Statistical properties of the Burgers equation with Brownian initial velocity ⋮ Flux to a trap

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