A closed form solution to one dimensional Robin boundary problems
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Publication:692683
DOI10.1007/s10255-012-0156-4zbMath1259.60099MaRDI QIDQ692683
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
stochastic differential equations; partial differential equations; diffusion processes; Fokker-Plank equation; reflected Brownian motion; Robin boundary problem; Girsanov's formula; absorbed Brownian motion
92C37: Cell biology
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
35K40: Second-order parabolic systems
47N30: Applications of operator theory in probability theory and statistics
Cites Work