Higher order PDE's and iterated processes

被引:0
作者
Nane, Erkan
机构
关键词
iterated Brownian motion; exit time; PDE connection; alpha-stable process; alpha-time process; subordinate killed Brownian motion;
D O I
暂无
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We introduce a class of stochastic processes based on symmetric alpha-stable processes, for alpha epsilon (0, 2]. These are obtained by taking Markov processes and replacing the time parameter with the modulus of a symmetric alpha-stable process. We call them alpha-time processes. They generalize Brownian time processes studied in Allouba and Zheng (2001), Allouba (2002), (2003), and they introduce new interesting examples. We establish the connection of alpha-time processes to some higher order PDE's for alpha rational. We also obtain the PDE connection of subordinate killed Brownian motion in bounded domains of regular boundary.
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页码:2681 / 2692
页数:12
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