Stopped Markov Processes and Applications to the Dirichlet Problem in a Smooth Domain
J. Kovats
2009, v.15, Issue 4, 549-562
ABSTRACT
In this paper, we generalize a theorem due to Dynkin about stopped Markov processes and use this result to generalize a well-known theorem from the theory of diffusion processes. We then use this latter theorem to show that certain probabilistic functionals of a time-homogeneous diffusion process are solutions of the corresponding Dirichlet problem in a smooth bounded domain in Euclidean space.
Keywords: stopped Markov processes,Dirichlet problem
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