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Probabilistic representation of the heat equation with time-dependent Dirichlet data
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Mathematics
Area of mathematics
Analysis
Partial differential equation
Diffusion equation
Heat equation
2026-09-24
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For
u
t
=
2
1
u
xx
on
(
0
,
1
)
with initial
data
g
and
time
-dependent
Dirichlet boundary conditions
f
1
,
f
2
, stop
Brownian motion
at its
first
hit of
0
or
1
. Applying
Itô formula
to
u
(
t
−
s
,
B
s
)
yields
u
(
t
,
x
)
=
E
x
[
g
(
B
t
)
1
{
t
<
τ
0
∧
τ
1
}
+
f
1
(
t
−
τ
0
)
1
{
τ
0
<
t
∧
τ
1
}
+
f
2
(
t
−
τ
1
)
1
{
τ
1
<
t
∧
τ
0
}
]
.
(1)
Ancestors
(7)
Heat equation
Diffusion equation
Partial differential equation
Analysis
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2024
/
iii
/
Paper 202
/
6
/
c
/
Solution
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