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

DOI10.1088/0305-4470/20/6/018zbMATH Open0634.35075OpenAlexW2044225160MaRDI QIDQ3772639FDOQ3772639

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

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

Cited In (8)

• Analysis of a Brownian particle moving in a time-dependent drift field
• A new class of approximate analytical solutions of the Pridmore-Brown equation
• On the structure of the singular set for the kinetic Fokker–Planck equations in domains with boundaries
• Brownian motion in a uniform force field. Solution of a boundary value problem for the stationary equation
• Statistical properties of the Burgers equation with Brownian initial velocity
• Half-range expansion analysis for Langewin dynamics in the high-friction limit with a singular absorbing boundary condition: noncharacteristic case
• Half-range completeness for the Fokker-Planck equation with an external force
• Flux to a trap

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