2 research outputs found
Composition of processes and related partial differential equations
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.Comment: 32 page
Estabilización de la solución estadÃstica de la ecuación parabólica.
We study the convergence of the statistical solutions of the parabolic equation. Under some mixing condition (in the sense of Rosenblatt) for initial measure and natural assumptions on the coefficients of the equation we prove weak convergence to the Gaussian distribution. Similar results for the hyperbolic equations were obtained in [1–4]