0
votes
0answers
75 views

Probability that d-Brownian Motion ,d>3, avoids a set A

In other words, the probability that Brownian motion stays within $A^{c}$. So far I found that it is 1, for random cylinders and thorns (http://www.math.upenn.edu/~pemantle/papers/burdzy.pdf). What ...
7
votes
1answer
322 views

About the convergence rate for an approximation to the heat kernel

Let $G(t,x)$ be the heat kernel $$ G(t,x)=\frac{1}{\sqrt{2\pi t}}e^{-\frac{x^2}{2t}}, \quad t>0, \:x\in\mathbb{R}. $$ Here is one approximation to $G(t,x)$: $$ G_\epsilon(t,x)=e^{-t/\epsilon} ...
5
votes
0answers
245 views

Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE

Friedman (in his book: PDEs of Parabolic Type) shows how to construct a solution to the Cauchy problem $$ \partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x) $$ ...
1
vote
1answer
103 views

Is the linear span of the Neumann eigenfunctions dense in $C(\overline{D})$

Let $D\subset R^d$ be a bounded Lipschitz domain. We know that the Neumann eigenfunction lies in $C(\overline{D})$ (i.e. continuous up to the boundary). This can be seen from the fact that ...
4
votes
1answer
134 views

diffusions corresponding to estimators

I am an undergraduate math student preparing my thesis. Currently I am reading L.D Brown's (1971) paper Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems. Here is a ...
8
votes
2answers
503 views

Probabilistic Solution of the Porous Medium Equation

It is well known that the transition density for standard Brownian motion $B_t$ in $\mathbb{R}^d$ yields a solution to the global Cauchy problem for the heat equation $$u_t = \Delta u$$ with initial ...
4
votes
0answers
314 views

Do there exist generalized conformal maps that preserve elliptic measure?

Let $D_1$ and $D_2$ be two bounded simply connected Jordan domains in $\mathbb{R}^2$. By Carathéodory's Theorem there exists a homeomorphism $f:\bar{D}_1 \to \bar{D}_2$ such that the restriction ...