I know there's another question very similar to this argument. In the book Probabilità e Modelli Aleatori of Enzo Orsingher, at page 134, it shows that the transition function of an absorbing Brownian Motion is the solution of the following problem: $$ \left\{ \begin{array}{rl} \frac{du}{dt}=\frac{d^2u}{2dx^2} & x < a,t>0 \\ u(t_0,x,t_0,x_0)=\delta(x-x_0) \\ u(t,a,t_0,x_0)=0\\ \lim_{x \to -\infty} u(t,x,t_0,x_0)=0 & \lim_{x \to -\infty} \frac{du}{dx}(t,x,t_0,x_0)=0 \end{array} \right. $$ To solve this problem, the books uses the separation of variables and rewrites the solution of the heat equation in this way: $$u(t,x)=\int_{-\infty}^{\infty}e^{-\frac{1}{2}\beta^2t} \{A(\beta)e^{i\beta x}+B(\beta)e^{-i\beta x}\}$$ I really don't understand how to obtain this form. I looked a lot on the web for an answer but I didn't find it. Every time I look for the separation of variables in the heat equation, the result has a different form.
2026-03-26 14:20:51.1774534851
Separation of variables and Fourier transformation
58 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in BROWNIAN-MOTION
- Compute the covariance of $W_t$ and $B_t=\int_0^t\mathrm{sgn}(W)dW$, for a Brownian motion $W$
- Why has $\sup_{s \in (0,t)} B_s$ the same distribution as $\sup_{s \in (0,t)} B_s-B_t$ for a Brownian motion $(B_t)_{t \geq 0}$?
- Identity related to Brownian motion
- 4th moment of a Wiener stochastic integral?
- Optional Stopping Theorem for martingales
- Discontinuous Brownian Motion
- Sample path of Brownian motion Hölder continuous?
- Polar Brownian motion not recovering polar Laplacian?
- Uniqueness of the parameters of an Ito process, given initial and terminal conditions
- $dX_t=\alpha X_t \,dt + \sqrt{X_t} \,dW_t, $ with $X_0=x_0,\,\alpha,\sigma>0.$ Compute $E[X_t] $ and $E[Y]$ for $Y=\lim_{t\to\infty}e^{-\alpha t}X_t$
Related Questions in HEAT-EQUATION
- Solving the heat equation with robin boundary conditions
- Duhamel's principle for heat equation.
- Computing an inverse Fourier Transform / Solving the free particle Schrödinger equation with a gaussian wave packet as initial condition
- Bound on the derivatives of heat kernel.
- Imposing a condition that is not boundary or initial in the 1D heat equation
- 1-D Heat Equation, bounding difference in $\alpha$ given surface temperature
- Heat equation for a cylinder in cylindrical coordinates
- Heat Equation in Cylindrical Coordinates: Sinularity at r = 0 & Neumann Boundary Conditions
- Applying second-order differential operator vs applying first-order differential operator twice?
- Physical Interpretation of Steady State or Equilibrium Temperature.
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?