Iterated Processes and Their Applications to Higher Order Differential Equations

被引：0
|
作者：
Enzo Orsingher
机构：
来源：
Acta Mathematica Sinica(English Series) | 1999年 / 15卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Iterated Brownian motion; Telegraph processes; Higher-order parabolic equations; Higherorder hyperbolic equations; Maximum;
D O I：
暂无
中图分类号：
O175 [微分方程、积分方程];
学科分类号：
070104 ;
摘要：
In this paper we construct models obtained by suitably combining Brownian motions andtelegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolicequations of different types. Equations with time-varying coefficients are also derived by considering processes endowed eitherwith drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some otherproperties) is presented.
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页码：173 / 180
页数：8
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