Stochastic solutions of a class of higher order Cauchy problems in R^d

DOI10.1142/S021949371000298XMaRDI QIDQ4932787zbMATH OpenOpenAlexFDO

Authors Erkan Nane

Publication date 7 October 2010

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.4824

zbMATH Keywords

Caputo fractional derivativeheat equationbounded domainfractional diffusionexit time\(k\)-iterated Brownian motionBrownian-time Brownian motion of Allouba and Zhenghigher of Cauchy problemsiterated Brownian motion of Burdzy

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We study solutions of a class of higher order partial differential equations in bounded domains. These partial differential equations appeared first time in the papers of Allouba and Zheng cite{allouba1}, Baeumer, Meerschaert and Nane cite{bmn-07}, Meerschaert, Nane and Vellaisamy cite{MNV}, and Nane cite{nane-h}. We express the solutions by subordinating a killed Markov process by a hitting time of a stable subordinator of index $$, or by the absolute value of a symmetric $alpha$-stable process with $0<alphaleq2$, independent of the Markov process. In some special cases we represent the solutions by running composition of $k$ independent Brownian motions, called $k$-iterated Brownian motion for an integer $kgeq2$. We make use of a connection between fractional-time diffusions and higher order partial differential equations established first by Allouba and Zheng cite{allouba1} and later extended in several directions by Baeumer, Meerschaert and Nane cite{bmn-07}.

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Cited in

(11)

• scientific article; zbMATH DE number 6692135 (Why is no real title available?)
• Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation
• On the infinite divisibility of distributions of some inverse subordinators
• Higher order PDE’s and iterated processes
• From Brownian-time Brownian sheet to a fourth order and a Kuramoto-Sivashinsky-variant interacting PDEs systems
• scientific article; zbMATH DE number 4216704 (Why is no real title available?)
• Time-fractional and memoryful \(\Delta^{2^{k}}\) SIEs on \(\mathbb{R}_{+}\times\mathbb{R}^{d}\): how far can we push white noise?
• Interacting time-fractional and \(\Delta^{\nu}\) PDEs systems via Brownian-time and inverse-stable-Lévy-time Brownian sheets
• Randomly stopped nonlinear fractional birth processes
• Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes
• Euler-Poisson-Darboux equations and iterated fractional Brownian motions

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