A closed form solution to one dimensional Robin boundary problems

DOI10.1007/S10255-012-0156-4zbMath1259.60099OpenAlexW2018432195MaRDI QIDQ692683

Ai-lin Zhu, Chang-Li Yang

Publication date: 6 December 2012

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0156-4

zbMATH Keywords

stochastic differential equationspartial differential equationsdiffusion processesFokker-Plank equationreflected Brownian motionRobin boundary problemGirsanov's formulaabsorbed Brownian motion

Mathematics Subject Classification ID

Cell biology (92C37) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Second-order parabolic systems (35K40) Applications of operator theory in probability theory and statistics (47N30)

Related Items (1)

Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections

Cites Work

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• Sharp bounds for transition probability densities of a class of diffusions
• Stochastic simulation of coupled reaction-diffusion processes
• On conditional diffusion processes
• Incorporating Diffusion in Complex Geometries into Stochastic Chemical Kinetics Simulations

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