On the fundamental solution of the Kolmogorov-Shiryaev equation

MaRDI QIDQ5493563zbMATH OpenFDO

Authors Goran Peskir

Publication date 23 October 2006

zbMATH Keywords

Laplace transformconfluent hypergeometric functionmodified Bessel functionKolmogorov forward equationShiryaev processintegral of geometric Brownian motionHankel's contour integral

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited in

(20)

• Explicit asymptotics on first passage times of diffusion processes
• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
• On the evaluation of an integral involving the Whittaker \(W\) function
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• High-order approximation of Pearson diffusion processes
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Two-sided disorder problem for a Brownian motion in a Bayesian setting
• Finite horizon sequential detection with exponential penalty for the delay
• Quickest real-time detection of a Brownian coordinate drift
• A two diffusion stochastic model for the spread of the new corona virus SARS-CoV-2
• Lévy processes with respect to the Whittaker convolution
• Efficiency of institutional spending and investment rules
• From Sturm-Liouville problems to fractional and anomalous diffusions
• On backward Kolmogorov equation related to CIR process
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• On exact solutions to the Kolmogorov-Feller equation
• Generalization of Titchmarsh's theorem for the modified Whittaker transform
• The \(\alpha\)-hypergeometric stochastic volatility model
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach

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