A peculiar two point boundary value problem

DOI10.1214/009117906000000818zbMath1208.60079arXiv0710.2396OpenAlexW3102931484MaRDI QIDQ2456023

Hua-Dong Pang, Daniel W. Stroock

Publication date: 17 October 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.2396

zbMATH Keywords

minimum principleOne-dimensional diffusion

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Diffusion processes (60J60)

Related Items (5)

Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem ⋮ On bivariate distributions of the local time of Itô-McKean diffusions ⋮ A probabilistic solution to the Stroock-Williams equation ⋮ A highly unstable initial value boundary value problem ⋮ A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation

Cites Work

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• Further study of a simple PDE
• A simple PDE and Wiener‐Hopf Riccati equations
• Indefinite inner products: a simple illustrative example

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