Chernoff's distribution and differential equations of parabolic and Airy type

DOI10.1016/j.jmaa.2014.10.051zbMath1382.60106arXiv1305.6053OpenAlexW2962804144MaRDI QIDQ472386

Nico M. Temme, Steven P. Lalley, Piet Groeneboom

Publication date: 19 November 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.6053

zbMATH Keywords

parabolic partial differential equationsFeynman-Kac formulaAiry functionsBrownian motion with parabolic driftCameron-Martin-Girsanov formulaScorer functions

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65)

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