Euler-Poisson-Darboux equations and iterated fractional Brownian motions (Q6081470)

The connection between Euler-Poisson-Darboux (EPD) type equations and iterative fractional Brownian motions is investigated. The authors rely on the result of the work of \textit{M. D'Ovidio} and \textit{E. Orsingher} [J. Theor. Probab. 24, No. 2, 342--375 (2011; Zbl 1229.60045)] which found that ``The marginal transition density of the iterated fractional Brownian motion \(B^1_{H_1}(|B^2_{H_2}(t)|)\), for \(H_1,H_2\in(0,1)\) is a solution to the Euler-Poisson-Darboux-type equation \[ \frac{\partial^2p}{\partial t^2}+\frac{1+\gamma}{t}\frac{\partial p}{\partial t}= \gamma^2\frac{\partial}{\partial x}\frac{x^2}{t^2}\frac{\partial p}{\partial x},\quad x\in\mathbb R,\,t>0,\tag{\(\ast\)} \] where \(\gamma=H_1H_2\)''. In Proposition 2 and Proposition 3, two types of solutions to equation \(\ast\) are found. In Theorem 4, a solution to the modified equation \(\ast\) is obtained, in which the term \(-p(x,t)\) is added to the right side of the equation. In addition, a particular case of equation \(\ast\) and several of its modifications, including nonlinear ones, are discussed.