scientific article; zbMATH DE number 139946
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Publication:4028296
[For the entire collection see Zbl 0764.00003.] The integro-differential equation of the form \[ u(t,x)=u_ 0(x)+\int^ t_ 0 {{\partial^ 2 u}\over {\partial x^ 2}}(x,t-s)\rho(ds), \] where \(\rho\geq 0\) is a positive measure on \(R_ +\), is considered. It is shown how to interpret probabilistically this equation. It is proved that the solution has the form \(u(t,x)=Eu_ 0(x+X_ t)\), where \(X_ t=B_{\alpha_ t}\), \(B\) is the Brownian motion, \(\alpha\) is a local time.
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