Iterated processes and their applications to higher order differential equations (Q1292793): Difference between revisions
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English | Iterated processes and their applications to higher order differential equations |
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Iterated processes and their applications to higher order differential equations (English)
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31 October 1999
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The subject of the paper is the relation between stochastic processes and partial differential equations. It generalizes the well-known relation concerning second order equations, namely that the density of Brownian motion is a fundamental solution to the heat equation, to higher orders. The suitable stochastic process is obtained by iterating independent Brownian motions. Their densities solve a higher order parabolic equation. If iterations with the telegraph process are admitted, then the corresponding partial differential equations are of hyperbolic type. Equations with time varying coefficients are also covered by modifying the structure of the processes.
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iterated Brownian motion
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telegraph process
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parabolic equations
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hyperbolic equations
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