Composition of processes and related partial differential equations
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Publication:548154
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.
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