Probabilistic representations for the solution of higher order differential equations (Q457879): Difference between revisions
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scientific article
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| English | Probabilistic representations for the solution of higher order differential equations |
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Probabilistic representations for the solution of higher order differential equations (English)
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30 September 2014
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Summary: A probabilistic representation for the solution of the partial differential equation \((\partial/\partial t) u(x,t) = -\alpha \Delta^2 u(x,t)\), \(\alpha \in \mathbb C\), is constructed in terms of the expectation with respect to the measure associated to a complex-valued stochastic process.
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Feynman-Kac formula
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Wiener process
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Brownian motion
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Funaki process
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