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    The Heat Equation and Reflected Brownian Motion in Time-Dependent Domains 

    Burdzy, Krzysztof; Chen, Zhen-Qing; Sylvester, John (Institute of Mathematical Statistics, 2004-01)
    The paper is concerned with reflecting Brownian motion (RBM) in domains with deterministic moving boundaries, also known as "non-cylindrical domains," and its connections with partial differential equations. Construction is given for reflecting Brownian motion in C3-smooth time-dependent domains in the n-dimensional Euclidean ...

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    Author
    Burdzy, Krzysztof (1)
    Chen, Zhen-Qing (1)Sylvester, John (1)Subject
    Feynman-Kac formula (1)
    Girsanov transform (1)Heat equation with boundary conditions (1)Local time (1)
    Probabilistic representation (1)
    Reflecting Brownian motion (1)Skorohod decomposition (1)Time-dependent domain (1)Time-inhomogeneous strong Markov process (1)Time-reversal (1)... View MoreDate Issued
    2004 (1)

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