A probabilistic solution to the Stroock-Williams equation

DOI10.1214/13-AOP865zbMath1320.60127arXiv1307.0046OpenAlexW3103808916MaRDI QIDQ465473

Goran Peskir

Publication date: 31 October 2014

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

Full work available at URL: https://arxiv.org/abs/1307.0046

zbMATH Keywords

local timereflecting Brownian motionelastic Brownian motionprobabilistic solutionsticky Brownian motionStroock-Williams equation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Integral representations of solutions to PDEs (35C15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Local time and additive functionals (60J55) Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15)

Related Items (8)

Integral functionals under the excursion measure ⋮ On bivariate distributions of the local time of Itô-McKean diffusions ⋮ Elastic drifted Brownian motions and non-local boundary conditions ⋮ The dividend problem with a finite horizon ⋮ Fick law and sticky Brownian motions ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation ⋮ Sticky Brownian Motion and Its Numerical Solution

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