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Limit theorems for number of diffusion processes, which did not absorb by boundaries
Authors:Aniello Fedullo  Vitalii A Gasanenko
Institution:(1) Universita Degli Studi Di Salerno, 84084 Fisciano (SA), Italia;(2) Institute of Mathematics, National Academy of Science of Ukraine, 01601 Kiev, Ukraine
Abstract:We have random number of independent diffusion processes with absorption on boundaries in some region at initial time t = 0. The initial numbers and positions of processes in region is defined by the Poisson random measure. It is required to estimate the number of the unabsorbed processes for the fixed time τ > 0. The Poisson random measure depends on τ and τ → ∞. This research was partially supported by the Ministry of Education and Science of Ukraine, project 01.07/103 and University of Salerno, Italy.
Keywords:Stochastic differential equations  solution of parabolic equations  eigenvalues problem  Poisson random measure  generating function
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