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Results tagged with linear-pde
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user 31090
Questions about linear partial differential equations. Often used in combination with the top-level tag ap.analysis-of-pdes.
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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
$$
\partial_t u(t,x) = b(x) \partial_x u(t,x) + \frac{1}{2} \sigma(x)^2 \partial_{x,x} u(t,x)
$$
…
- 271