scholarly journals Similarity Solutions of Partial Differential Equations in Probability

2011 ◽  
Vol 2011 ◽  
pp. 1-13
Author(s):  
Mario Lefebvre
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Diffusion Processes ◽  
Separation Of Variables ◽  
Similarity Solutions ◽  
Two Dimensional ◽  
Partial Differential ◽  
Generalized Fourier Series ◽  
Dimensional Diffusion ◽  
Concentric Circles

Two-dimensional diffusion processes are considered between concentric circles and in angular sectors. The aim of the paper is to compute the probability that the process will hit a given part of the boundary of the stopping region first. The appropriate partial differential equations are solved explicitly by using the method of similarity solutions and the method of separation of variables. Some solutions are expressed as generalized Fourier series.

scholarly journals Stochastic Measure Diffusion Processes

1979 ◽  
Vol 22 (2) ◽  
pp. 129-138 ◽  
Author(s):  
Donald A. Dawson
Keyword(s):  
Differential Equation ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Stochastic Partial Differential Equations ◽  
Diffusion Processes ◽  
Partial Differential ◽  
Stochastic Measure ◽  
Recent Developments

The purpose of this article is to give an introduction to the study of a class of stochastic partial differential equations and to give a brief review of some of the recent developments in this field. This study has evolved naturally out of the theory of stochastic differential equations initiated in a pioneering paper of K. Itô [13]. In order to set this review in its appropriate setting we begin by considering a simple scalar stochastic differential equation.

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