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Probabilistic Interpretation Of Solutions Of Linear Ultraparabolic Equations, Michael D. Marcozzi
Probabilistic Interpretation Of Solutions Of Linear Ultraparabolic Equations, Michael D. Marcozzi
Mathematical Sciences Faculty Research
We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains. Furthermore, we provide a probabilistic interpretation of the solution in terms of the expectation of an associated ultradiffusion process.