On the fundamental solution of the Kolmogorov-Shiryaev equation
zbMATH Open1101.60042MaRDI QIDQ5493563FDOQ5493563
Authors: Goran Peskir 
Publication date: 23 October 2006
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Laplace transformconfluent hypergeometric functionmodified Bessel functionKolmogorov forward equationShiryaev processintegral of geometric Brownian motionHankel's contour integral
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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