Similarity Solutions of Partial Differential Equations in Probability

Mario Lefebvre

Journal of Probability and Statistics, 2011, vol. 2011, 1-13

Abstract:

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.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/JPS/2011/689427.pdf (application/pdf)
http://downloads.hindawi.com/journals/JPS/2011/689427.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:689427

DOI: 10.1155/2011/689427

Access Statistics for this article

More articles in Journal of Probability and Statistics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().