Composition of stochastic processes governed by higher-order parabolic and hyperbolic equations |
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Authors: | Kenneth J Hochberg Enzo Orsingher |
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Institution: | (1) Department of Mathematics of Computer Science, Bar-Ilan University, 52900 Ramat-Gan, Israel;(2) Dipartimento di Statistica, Probabilità e Statistiche Applicate, Università degli Studi di Roma La Sapienza , 00185 Rome, Italy |
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Abstract: | We consider compositions of stochastic processes that are governed by higherorder partial differential equations. The processes studied include compositions of Brownian motions, stable-like processes with Brownian time, Brownian motion whose time is an integrated telegraph process, and an iterated integrated telegraph process. The governing higher-order equations that are obtained are shown to be either of the usual parabolic type or, as in the last example, of hyperbolic type. |
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Keywords: | Brownian motion stable process integrated telegraph process |
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