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

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

Review text

Summary: Two-dimensional diffusion processes are considered between concentric circles and in angular sectors. The aim of the paper is to compute the probability that the process will hit a given part of the boundary of the stopping region first. Appropriate partial differential equations are solved explicitly by using the method of similarity solutions and the method of separation of variables. Some solutions are expressed as generalized Fourier series.

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Cites work

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Cited in

(1)

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

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