Transactions of the American Mathematical Society · 1954 · 82 citations · 5 references
Natural SciencesMathematicsDifferential EquationsProbability TheoryStochastic ProcessesGreen's FunctionsOperator TheorySpectral AnalysisSpectral MethodsSpectral TheoryStochastic Differential EquationsDifferential Equation FormulationLipschitz ConditionsLipschitz ContinuitySpectral ApproximationSpectral Theory Of Dynamical Systems
1. Introduction.We propose to derive some results about the differential operator (1) L = -A-Vix) on -7-dimensional Euclidean space RN from a treatment based on the theory of random processes.These methods have been developed by Kac and others; most of the results of this paper have been suggested in Reference [l].It has been shown by Rosenblatt [2] that for F(x) a non-negative function satisfying a local Lipschitz condition at almost every point of RN, the Green's function of the differential equation 1 d (2) -A*(*.t) -f (_)*(*, t) = -fix, t), t > 0, 2 at can be written in the explicit form (3) Kix, y; t) = pix -y, t)E jexp j-j F(" + *(t))_t1 | xQ) = y -x\ , where and pix, t) = Í2tI)-n'2 exp Pí.P^exp <-f Vix+ xir))dA | x{l) = y -x> denotes the average value of exp j-f Vix + xir))dr\
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Foundations of the Theory of Probability
B. C. Brookes, A. N. Kolmogorov · The Mathematical Gazette · 1951 · 1.7K citations
The fundamental solution of the parabolic equation
F. G. Dressel · Duke Mathematical Journal · 1940 · 61 citations