Distribution Density of the First Exit Point of a Two-Dimensional Diffusion Process from a Circle Neighborhood of Its Initial Point: The Inhomogeneous Case

DOI10.1137/S0040585X97T990873zbMath1502.60122MaRDI QIDQ5097171

B. P. Kharlamov

Publication date: 22 August 2022

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

zbMATH Keywords

iterationDirichlet problemintegral equationGreen functionPoisson kernel

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Integral representations, integral operators, integral equations methods in higher dimensions (31B10) Transition functions, generators and resolvents (60J35)

Cites Work

• On the distribution density of the first exit point of a diffusion process with break from a small circular neighborhood of its initial point
• Continuous Semi‐Markov Processes
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