Brownian-time processes: The PDE connection and the half-derivative generator (Q1872247)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Brownian-time processes: The PDE connection and the half-derivative generator |
scientific article |
Statements
Brownian-time processes: The PDE connection and the half-derivative generator (English)
0 references
6 May 2003
0 references
Let \(B(t)\) be a one-dimensional Brownian motion starting at 0 and let \(X^x(t)\) be an independent \(\mathbb{R}^d\)-valued continuous Markov process started at \(x\), both defined on a probability space \((\Omega,{\mathcal F},\{{\mathcal F}_t\},\mathbb{P})\). The process \({\mathbf X}^x_B(t)=X^x(|B(t)|)\) is called a Brownian-time process. The authors study the connection between these processes and their exit distribution to fourth order parabolic and to second and fourth order elliptic partial differential equations. It is also shown that it is possible to assign a formal generator to these processes by giving such a generator in the half-derivative sense.
0 references
Brownian time process
0 references
iterated Brownian motion
0 references
half-derivative generator
0 references
0 references
0 references
0 references