The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains

DOI10.1137/S0040585X97T990307zbMath1462.35473arXiv1811.05069OpenAlexW3133677518MaRDI QIDQ3389453

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Publication date: 10 May 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.05069

zbMATH Keywords

continuous first-passage-time density function

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Heat equation (35K05) Moving boundary problems for PDEs (35R37)

Cites Work

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• Partial differential equations. III: Nonlinear equations.
• The heat equation and reflected Brownian motion in time-dependent domains.
• First-passage times of two-dimensional Brownian motion
• First Passage Time Densities through H\"older curves
• The method of layer potentials for the heat equation in time-varying domains

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