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Brownian motion with negative drift and convex level sets in space-time
Authors:Christer Borell
Affiliation:1. Department of Mathematics, Chalmers University of Technology, S-41296, G?teborg, Sweden
Abstract:Suppose a, b, and mgr are reals witha and consider the following diffusion equation

$$begin{gathered}  frac{1}{2} frac{{partial ^2 u}}{{partial x^2 }} + mu frac{{partial u}}{{partial x}} = frac{{partial u}}{{partial t}} hfill   u(x,0) = 0 hfill   u(a,t) = 0 hfill   u(b,t) = 1(a< x< b,t > 0). hfill  end{gathered} $$
Keywords:
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