A probabilistic solution to the Stroock–Williams equation
Work
Year: 2014
Type: article
Abstract: We consider the initial boundary value problem \begin{eqnarray*}u_t=\mu u_x+\tfrac{1}{2}u_{xx}\qquad (t>0,x\ge0),\\u(0,x)=f(x)\qquad (x\ge0),\\u_t(t,0)=\nu u_x(t,0)\qquad (t>0)\end{eqnarray*} of Stroo... more
Source: The Annals of Probability
Author Goran Peškir
Cites: 22
Cited by: 11
Related to: 10
FWCI: 1.09
Citation percentile (by year/subfield): 89.47
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: hybrid