Iterated Brownian motion in an open set. (Q1879919)
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| Language | Label | Description | Also known as |
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| English | Iterated Brownian motion in an open set. |
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Iterated Brownian motion in an open set. (English)
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15 September 2004
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The paper addresses an issue of a probabilistic interpretation for solutions of higher-order partial differential equations. Here, an iterated Brownian motion is used as a non-Markovian model of diffusion in a (Brownian) crack. The connection of this model is established with the fourth-order parabolic operator. A comparison with the standard Brownian motion in an open set is made, to disprove any affinities. A new method is invented to study a life-time of the iterated Brownian motion in an open set. The asymptotic distribution of the life-time is also found and compared against the standard Brownian result.
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iterated Brownian motion
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exit time
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higher-order PDE
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boundary value problem
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