On the Distribution Density of the First Exit Point of a Diffusion Process form a Small Neighborhood of Its Initial Position

DOI10.1137/S0040585X97978397zbMath1002.60044OpenAlexW2030480573MaRDI QIDQ4328490

Publication date: 25 April 2002

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

Full work available at URL: https://doi.org/10.1137/s0040585x97978397

zbMATH Keywords

integral equation diffusion process partial differential equation Green function first exit time elliptic type first exit point weak asymptotics of density

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Stochastic processes (60G99) Markov processes (60J99)

This page was built for publication: On the Distribution Density of the First Exit Point of a Diffusion Process form a Small Neighborhood of Its Initial Position