A method of generalized characteristics

DOI10.1090/MEMO/0266zbMATH Open0488.35019OpenAlexW1988164511MaRDI QIDQ3949375FDOQ3949375

Authors: Marc A. Berger, Alan D. Sloan 

Publication date: 1982

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/memo/0266

zbMATH Keywords

Cauchy problemsemigroup methodsFourier transformsspecial initial datacharacteristic methodsdistribution solutionsaverages of random samplesfirst order classical calculussecond order Ito calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Geometric theory, characteristics, transformations in context of PDEs (35A30) Solutions to PDEs in closed form (35C05) Higher-order parabolic equations (35K25) Stochastic integrals (60H05) Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15) Initial value problems for linear higher-order PDEs (35G10)

Cited In (4)

• The arc-sine law and its analogs for processes governed by signed and complex measures
• Product formulas for semigroups with elliptic generators
• Product formulas for solutions of initial value partial differential equations. I
• Characteristic methods for multi-dimensional evolution equations

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