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math.PR2005★ 6 cited
Uniqueness for diffusions degenerating at the boundary of a smooth bounded set
Dante DeBlassie
For continuous γ, g:[0,1]\to(0,\infty), consider the degenerate stochastic differential equation dX_t=[1-|X_t|^2]^{1/2}γ(|X_t|) dB_t-g(|X_t|)X_t dt in the closed unit ball of R^n.…
math.PR2004★ 61 cited
Iterated Brownian motion in an open set
R. Dante DeBlassie
Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serv…