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

DOI10.1080/07362994.2023.2208654OpenAlexW4375857263MaRDI QIDQ6131971FDOQ6131971

Author name not available (Why is that?), 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)

Cited In (1)

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

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