The analytic solutions of some boundary layer problems in the theory of Brownian motion

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, , Citation T W Marshall and E J Watson 1987 J. Phys. A: Math. Gen. 20 1345 DOI 10.1088/0305-4470/20/6/018

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1 Dept. of Math., Manchester Univ., UK

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Abstract

The authors give analytic solutions of the generalised albedo and Milne problems for the Uhlenbeck-Ornstein process, and discuss the relation between these and the original Wang-Uhlenbeck (1945) problem of determining the distribution of first-passage times.

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