Similarity solutions of partial differential equations in probability (Q642447)
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scientific article; zbMATH DE number 5964144
| Language | Label | Description | Also known as |
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| English | Similarity solutions of partial differential equations in probability |
scientific article; zbMATH DE number 5964144 |
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Similarity solutions of partial differential equations in probability (English)
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26 October 2011
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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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two-dimensional diffusion processes
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method of similarity solutions
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method of separation of variables
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0.9030973
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0.89582723
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