TY - JOUR
A2 - Chow, Shein-chung
AU - Lefebvre, Mario
PY - 2011
DA - 2011/08/09
TI - Similarity Solutions of Partial Differential Equations in Probability
SP - 689427
VL - 2011
AB - 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.
SN - 1687-952X
UR - https://doi.org/10.1155/2011/689427
DO - 10.1155/2011/689427
JF - Journal of Probability and Statistics
PB - Hindawi Publishing Corporation
KW -
ER -