Lie symmetries methods in boundary crossing problems for diffusion processes

DOI10.1007/s10440-020-00336-8zbMath1460.60091arXiv1807.03700OpenAlexW3034658043MaRDI QIDQ829565

Publication date: 6 May 2021

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.03700

zbMATH Keywords

diffusion processes hitting time Lie symmetry groups boundary-crossing probability first hitting time density

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Lie groups to the sciences; explicit representations (22E70) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fokker-Planck equations (35Q84)

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