Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
Probability
2018-10-16 v1
Abstract
In this paper, we study a two-point boundary value problem consisting of the heat equation on the open interval with boundary conditions which relate first and second spatial derivatives at the boundary points. Moreover, the unique solution to this problem can be represented probabilistically in terms of a sticky Brownian motion. This probabilistic representation is attained from the stochastic differential equation for a sticky Brownian motion on the bounded interval .
Cite
@article{arxiv.1810.06199,
title = {Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem},
author = {Thu Dang Thien Nguyen},
journal= {arXiv preprint arXiv:1810.06199},
year = {2018}
}