On matching diffusions, Laplace transforms and partial differential equations
DOI10.1016/j.spa.2015.04.003zbMath1327.60131arXiv1410.4858OpenAlexW2034830554MaRDI QIDQ492943
Jacek Jakubowski, Maciej Wiśniewolski
Publication date: 21 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.4858
Laplace transformwave equationBrownian motiondiffusionshyperbolic partial differential equationssquared Bessel processFeynman-Kac theorem
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Wave equation (35L05) Diffusion processes (60J60) Second-order hyperbolic equations (35L10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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