Higher order PDE’s and iterated processes

DOI10.1090/S0002-9947-07-04437-6zbMath1157.60071arXivmath/0508262MaRDI QIDQ5442146

Erkan Nane

Publication date: 15 February 2008

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508262

zbMATH Keywords

\(\alpha\)-stable processesFeynman-Kac formulaesubordinate killed Brownian motion\(\alpha\)-time processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stable stochastic processes (60G52)

Related Items (21)

Laws of the iterated logarithm for a class of iterated processes ⋮ First-exit times of an inverse Gaussian process ⋮ Fractional equations via convergence of forms ⋮ An operator theoretical approach to a class of fractional order differential equations ⋮ Euler-Poisson-Darboux equations and iterated fractional Brownian motions ⋮ The Cauchy problem for the iterated Klein-Gordon equation with the Bessel operator ⋮ Time-changed Poisson processes ⋮ Large deviations for subordinated Brownian motion and applications ⋮ Weighted pseudo almost automorphic mild solutions for two-term fractional order differential equations ⋮ Large deviations for local time fractional Brownian motion and applications ⋮ INTERACTING TIME-FRACTIONAL AND Δ^ν PDES SYSTEMS VIA BROWNIAN-TIME AND INVERSE-STABLE-LÉVY-TIME BROWNIAN SHEETS ⋮ Iterated stochastic processes: simulation and relationship with high order partial differential equations ⋮ Randomly Stopped Nonlinear Fractional Birth Processes ⋮ Probabilistic representation formula for the solution of fractional high-order heat-type equations ⋮ On a connection between powers of operators and fractional Cauchy problems ⋮ Composition of processes and related partial differential equations ⋮ Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$ ⋮ STOCHASTIC SOLUTIONS OF A CLASS OF HIGHER ORDER CAUCHY PROBLEMS IN ℝ^d ⋮ Brownian subordinators and fractional Cauchy problems ⋮ From Brownian-Time Brownian Sheet to a Fourth Order and a Kuramoto–Sivashinsky-Variant Interacting PDEs Systems ⋮ Higher-order Laplace equations and hyper-Cauchy distributions

Cites Work

• Probabilistic construction of the solution of some higher order parabolic differential equation
• Local times and related properties of multidimensional iterated Brownian motion
• Brownian motion in a Brownian crack
• Potential theory of subordinate killed Brownian motion in a domain
• A linearized Kuramoto-Sivashinsky PDE via an imaginary-Brownian-time-Brownian-angle process
• Brownian-time processes: The PDE connection and the half-derivative generator
• Iterated Brownian motion in an open set.
• Higher order PDEs and symmetric stable processes
• Chung's law of the iterated logarithm for iterated Brownian motion
• Iterated Brownian motion in parabola-shaped domains
• Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
• First Passage Times for Symmetric Stable Processes in Space
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