Probabilistic representations for the solution of higher order differential equations (Q457879): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H15 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 35K20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6349568 / rank | |||
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| Property / zbMATH Keywords | |||
Feynman-Kac formula | |||
| Property / zbMATH Keywords: Feynman-Kac formula / rank | |||
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Wiener process | |||
| Property / zbMATH Keywords: Wiener process / rank | |||
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Brownian motion | |||
| Property / zbMATH Keywords: Brownian motion / rank | |||
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Funaki process | |||
| Property / zbMATH Keywords: Funaki process / rank | |||
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Revision as of 12:07, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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