On hitting times, Bessel bridges and Schrödinger's equation

DOI10.3150/12-BEJ420zbMath1317.60082arXiv1203.6863OpenAlexW2953000920MaRDI QIDQ2435213

Gerardo Hernandez-del-Valle

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4098

zbMATH Keywords

heat equationBrownian motionfundamental solutionhitting timesSchrödinger's equationGirsanov transformationparabolic PDEsBessel bridges

Mathematics Subject Classification ID

Brownian motion (60J65) Fundamental solutions to PDEs (35A08) Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Schrödinger operator, Schrödinger equation (35J10) Parabolic equations and parabolic systems (35K99) Moving boundary problems for PDEs (35R37)

Related Items (3)

On hitting times, Bessel bridges and Schrödinger's equation ⋮ On the zeros of the Pearcey integral and a Rayleigh-type equation ⋮ On the First Time that a 3-D Bessel Bridge Hits a Boundary

Cites Work

• Unnamed Item
• Unnamed Item
• On hitting times, Bessel bridges and Schrödinger's equation
• Expansions in Terms of Heat Polynomials and Associated Functions
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• The final size of a nearly critical epidemic, and the first passage time of a Wiener process to a parabolic barrier
• New classes of Schrödinger equations equivalent to the free particle equation through non-local transformations
• Burgers' turbulence problem with linear or quadratic external potential
• The Dirichlet-to-Neumann map for the heat equation on a moving boundary

This page was built for publication: On hitting times, Bessel bridges and Schrödinger's equation