Explicit expression for the transition density of the solution of a stochastic diffusion equation with piecewise-constant drift coefficient |
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Authors: | M Almazov |
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Institution: | (1) Kiev University, USSR |
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Abstract: | The explicit form of the transition density is determined for the solution (t) of the stochastic diffusion equation d(t)=a((t))dt+dw(t), where a(z)= for x a, b] and a(x)=0 for x a, b], w(t) is a Wiener process.Translated from Vychislitel'naya i Prikladnaya Matematika, No. 61, pp. 99–105, 1987. |
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