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On the heat equation with a moving boundary and applications to hitting times for Brownian motion - MaRDI portal

On the heat equation with a moving boundary and applications to hitting times for Brownian motion

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Publication:6131971

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DOI10.1080/07362994.2023.2208654OpenAlexW4375857263MaRDI QIDQ6131971

Unnamed Author, Gerardo Hernandez-del-Valle

Publication date: 18 April 2024

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

Full work available at URL: https://doi.org/10.1080/07362994.2023.2208654

zbMATH Keywords

heat equation Brownian motion hitting times Sturm-Liouville theory

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Stopping times; optimal stopping problems; gambling theory (60G40) Heat kernel (35K08)

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