FOKKER-PLANCK EQUATION FOR THE DENSITY OF A DIFFUSION PROCESS IN A REGULAR OPEN SET

Authors
CHANCELIER JP DELARA MC PACARD F
Citation
Jp. Chancelier et al., FOKKER-PLANCK EQUATION FOR THE DENSITY OF A DIFFUSION PROCESS IN A REGULAR OPEN SET, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 321(9), 1995, pp. 1251-1256
Citations number
7
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
321
Issue
9
Year of publication
1995
Pages
1251 - 1256
Database
ISI
SICI code
0764-4442(1995)321:9<1251:FEFTDO>2.0.ZU;2-4
Abstract
To give physical meaning to the boundary conditions of parabolic parti al differential equation, we introduce a diffusion process in some ope n set, with different boundary conditions (elastic or non-elastic refl ection, stopping) and we give the equation satisfied by the density.