On the heat equation with a moving boundary and applications to hitting times for Brownian motion

DOI10.1080/07362994.2023.2208654MaRDI QIDQ6131971zbMATH OpenOpenAlexFDO

Authors Gerardo Hernandez-del-Valle

Publication date 18 April 2024

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2023.2208654

zbMATH Keywords

Brownian motionheat equationhitting timesSturm-Liouville theory

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Heat kernel (35K08) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
• scientific article; zbMATH DE number 3844777
• On hitting times, Bessel bridges and Schrödinger's equation
• Brownian motion hitting probabilities for general two-sided square-root boundaries

Cited in

(1)

• First-passage time distribution of a Brownian motion: two unexpected journeys

This page was built for publication: On the heat equation with a moving boundary and applications to hitting times for Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131971)