Iterated stochastic processes: simulation and relationship with high order partial differential equations

DOI10.1007/s11009-015-9469-0zbMath1373.60138arXiv1704.00173OpenAlexW2191709421MaRDI QIDQ518860

Michèle Thieullen, Alexis Vigot

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.00173

zbMATH Keywords

diffusion processesFeynman-Kac formulaEuler schemeiterated processiterated Brownian motionhigh-order partial differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Composition of processes and related partial differential equations
• The uniform modulus of continuity of iterated Brownian motion
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Probabilistic construction of the solution of some higher order parabolic differential equation
• Time-fractional telegraph equations and telegraph processes with Brownian time
• Brownian-time processes: The PDE connection and the half-derivative generator
• Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
• Brownian subordinators and fractional Cauchy problems
• α-time fractional Brownian motion: PDE connections and local times
• Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes
• Higher order PDE’s and iterated processes
• Related problems in partial differential equations