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Similarity solutions of partial differential equations in probability

Mario Lefebvre

Article (2011)

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Cite this document: Lefebvre, M. (2011). Similarity solutions of partial differential equations in probability. Journal of Probability and Statistics, 2011, p. 1-13. doi:10.1155/2011/689427
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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.

Open Access document in PolyPublie
Subjects: 2950 Mathématiques appliquées > 2950 Mathématiques appliquées
3000 Statistique et probabilité > 3008 Probabilité appliquée
Department: Département de mathématiques et de génie industriel
Research Center: Non applicable
Date Deposited: 18 Jul 2019 13:50
Last Modified: 19 Jul 2019 01:20
PolyPublie URL: https://publications.polymtl.ca/3649/
Document issued by the official publisher
Journal Title: Journal of Probability and Statistics (vol. 2011)
Publisher: Hindawi
Official URL: https://doi.org/10.1155/2011/689427

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