Sticky Brownian Motions and a Probabilistic Solution to a Two-Point Boundary Value Problem

نویسندگان

چکیده

In this paper, we study a two-point boundary value problem consisting of the heat equation on open interval (0,1) with conditions which relate first and second spatial derivatives at points. Moreover, unique solution to can be represented probabilistically in terms sticky Brownian motion. This probabilistic representation is attained from stochastic differential for motion bounded [0,1].

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ژورنال

عنوان ژورنال: Mathematical Physics Analysis and Geometry

سال: 2021

ISSN: ['1572-9656', '1385-0172']

DOI: https://doi.org/10.1007/s11040-021-09383-5