Composition of processes and related partial differential equations

DOI10.1007/S10959-010-0284-9zbMATH Open1229.60045arXiv1003.5276OpenAlexW3103445697MaRDI QIDQ548154FDOQ548154

Enzo Orsingher, Mirko D'Ovidio

Publication date: 28 June 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this paper different types of compositions involving independent fractional Brownian motions B^j_{H_j}(t), t>0, j=1,$ are examined. The partial differential equations governing the distributions of I_F(t)=B^1_{H_1}(|B^2_{H_2}(t)|), t>0 and J_F(t)=B^1_{H_1}(|B^2_{H_2}(t)|^{1/H_1}), t>0 are derived by different methods and compared with those existing in the literature and with those related to B^1(|B^2_{H_2}(t)|), t>0. The process of iterated Brownian motion I^n_F(t), t>0 is examined in detail and its moments are calculated. Furthermore for J^{n-1}_F(t)=B^1_{H}(|B^2_H(...|B^n_H(t)|^{1/H}...)|^{1/H}), t>0 the following factorization is proved J^{n-1}_F(t)=prod_{j=1}^{n} B^j_{frac{H}{n}}(t), t>0. A series of compositions involving Cauchy processes and fractional Brownian motions are also studied and the corresponding non-homogeneous wave equations are derived.

Full work available at URL: https://arxiv.org/abs/1003.5276

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zbMATH Keywords

fractional Brownian motionsfractional equationsCauchy processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)

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Cited In (8)

• Methods for deriving differential equations of arbitrary dynamic processes
• Higher-order Laplace equations and hyper-Cauchy distributions
• Fractional diffusions with time-varying coefficients
• Euler-Poisson-Darboux equations and iterated fractional Brownian motions
• Fractional Brownian motions ruled by nonlinear equations
• Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes
• Iterated stochastic processes: simulation and relationship with high order partial differential equations
• Shooting randomly against a line in Euclidean and non-Euclidean spaces

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