Mathematics – Probability
Scientific paper
2012-03-30
Mathematics
Probability
Scientific paper
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schr\"odinger's equation with linear potential, and (d) heat equation problems with moving boundary. We relate (a) and (b) by means of Girsanov's theorem, which suggests a strategy to extend our ideas to problems in $\mathbb{R}^n$ and general diffusions. This approach also leads to (c) because we may relate, through a Feynman-Kac representation, functionals of a Bessel bridge with two Schr\"odinger-type problems. In particular, we also find a fundamental solution to a class of parabolic partial differential equations with linear potential. Finally, the relationship between (c) and (d) suggests a possible link between Generalized Airy processes and their hitting times.
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