On matching diffusions, Laplace transforms and partial differential equations

DOI10.1016/j.spa.2015.04.003zbMath1327.60131arXiv1410.4858OpenAlexW2034830554MaRDI QIDQ492943

Jacek Jakubowski, Maciej Wiśniewolski

Publication date: 21 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.4858

zbMATH Keywords

Laplace transformwave equationBrownian motiondiffusionshyperbolic partial differential equationssquared Bessel processFeynman-Kac theorem

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Wave equation (35L05) Diffusion processes (60J60) Second-order hyperbolic equations (35L10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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