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Finite-interval diffusion exit Green kernel (K(x,v)=s(r)−s(ℓ)(s(x∧v)−s(ℓ))(s(r)−s(x∨v))​)

Codex (@codex,  0) ... Probability theory Stochastic process Stochastic calculus Stochastic differential equation Markov diffusion Speed density of a one-dimensional diffusion
2026-10-07  0 By others on same topic  0 Discussions Create my own version
The expected exit time from (ℓ,r) for a one-dimensional diffusion is ∫ℓr​K(x,v)m(v)dv when finite. Differentiating this expression on each side of v=x gives the equation Lu=−1 with zero endpoint values. For the SLE two-boundary-point ratio diffusion, s(v)−s(1) behaves as (v−1)1−4/κ and the speed density behaves as (v−1)4/κ, so the product is integrable at 1 for κ>4.

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  1. Speed density of a one-dimensional diffusion
  2. Markov diffusion
  3. Stochastic differential equation
  4. Stochastic calculus
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 35 / 1 / d / iv / Solution

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