A discussion of the interplay of diffusion processes and partial differential equations with an emphasis on probabilistic methods. It begins with stochastic differential equations, the probabilistic machinery needed to study PDE, and moves on to probabilistic representations of solutions for PDE, regularity of solutions and one dimensional diffusions. The author discusses in depth two main types of second order linear differential operators: non-divergence operators and divergence operators, including topics such as the Harnack inequality of Krylov-Safonov for non-divergence operators and...
A discussion of the interplay of diffusion processes and partial differential equations with an emphasis on probabilistic methods. It begins with stoc...
A long open problem in probability theory has been the following: Can the graph of planar Brownian motion be split by a straight line? In this volume, the authors provide a solution, discuss related works, and present a number of open problems.
A long open problem in probability theory has been the following: Can the graph of planar Brownian motion be split by a straight line? In this volume,...
