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

DOI10.1142/S021949371000298XzbMATH Open1205.60129arXiv0809.4824OpenAlexW3103881075MaRDI QIDQ4932787FDOQ4932787

Authors: Erkan Nane 

Publication date: 7 October 2010

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

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}.

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

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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)

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Cited In (11)

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• Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation
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• Interacting time-fractional and \(\Delta^{\nu}\) PDEs systems via Brownian-time and inverse-stable-Lévy-time Brownian sheets
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• From Brownian-time Brownian sheet to a fourth order and a Kuramoto-Sivashinsky-variant interacting PDEs systems

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