Similarity solutions of partial differential equations in probability

DOI10.1155/2011/689427MaRDI QIDQ642447zbMATH OpenOpenAlexWikidataFDO

Authors Mario Lefebvre

Publication date 26 October 2011

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/689427

zbMATH Keywords

method of separation of variablesmethod of similarity solutionstwo-dimensional diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• A Probability Approach to the Heat Equation
• Hitting place probabilities for two-dimensional diffusion processes
• Hitting spheres with Brownian motion
• Some Theorems Concerning 2-Dimensional Brownian Motion
• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift

Cited in

(1)

• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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