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

Travelling Randomly on the Poincar\'e Half-Plane with a Pythagorean Compass

A random motion on the Poincar\'e half-plane is studied. A particle runs on the geodesic lines changing direction at Poisson-paced times. The hyperbolic distance is analyzed, also in the case where returns to the starting point are admitted. The main results concern the mean hyperbolic distance (and also the conditional mean distance) in all versions of the motion envisaged. Also an analogous motion on orthogonal circles of the sphere is examined and the evolution of the mean distance from the starting point is investigated

Random motions at finite velocity in a non-Euclidean space

In this paper telegraph processes on geodesic lines of the Poincaré half-space and Poincaré disk are introduced and the behavior of their hyperbolic distances examined. Explicit distributions of the processes are obtained and the related governing equations derived. By means of the processes on geodesic lines, planar random motions (with independent components) in the Poincaré half-space and disk are defined and their hyperbolic random distances studied. The limiting case of one-dimensional and planar motions together with their hyperbolic distances is discussed with the aim of establishing connections with the well-known stochastic representations of hyperbolic Brownian motion. Extensions of motions with finite velocity to the three-dimensional space are also hinted at, in the final section

Fractional diffusions with time-varying coefficients

This paper is concerned with the fractionalized diffusion equations governing the law of the fractional Brownian motion $B_H(t)$. We obtain solutions of these equations which are probability laws extending that of $B_H(t)$. Our analysis is based on McBride fractional operators generalizing the hyper-Bessel operators $L$ and converting their fractional power $L^{\alpha}$ into Erd\'elyi--Kober fractional integrals. We study also probabilistic properties of the r.v.'s whose distributions satisfy space-time fractional equations involving Caputo and Riesz fractional derivatives. Some results emerging from the analysis of fractional equations with time-varying coefficients have the form of distributions of time-changed r.v.'s

Exact and Fast Numerical Algorithms for the Stochastic Wave Equation

On the basis of integral representations we propose fast numerical methods to solve the Cauchy problem for the stochastic wave equation without boundaries and with the Dirichlet boundary conditions. The algorithms are exact in a probabilistic sense

Vibrations and fractional vibrations of rods, plates and Fresnel pseudo-processes

Different initial and boundary value problems for the equation of vibrations of rods (also called Fresnel equation) are solved by exploiting the connection with Brownian motion and the heat equation. The analysis of the fractional version (of order $\nu$) of the Fresnel equation is also performed and, in detail, some specific cases, like $\nu=1/2$, 1/3, 2/3, are analyzed. By means of the fundamental solution of the Fresnel equation, a pseudo-process $F(t)$, $t>0$ with real sign-varying density is constructed and some of its properties examined. The equation of vibrations of plates is considered and the case of circular vibrating disks $C_R$ is investigated by applying the methods of planar orthogonally reflecting Brownian motion within $C_R$. The composition of F with reflecting Brownian motion $B$ yields the law of biquadratic heat equation while the composition of $F$ with the first passage time $T_t$ of $B$ produces a genuine probability law strictly connected with the Cauchy process.Comment: 33 pages,8 figure

Ergodicity breaking in strong and network-forming glassy system

The temperature dependence of the non-ergodicity factor of vitreous GeO$_2$, $f_{q}(T)$, as deduced from elastic and quasi-elastic neutron scattering experiments, is analyzed. The data are collected in a wide range of temperatures from the glassy phase, up to the glass transition temperature, and well above into the undercooled liquid state. Notwithstanding the investigated system is classified as prototype of strong glass, it is found that the temperature- and the $q$-behavior of $f_{q}(T)$ follow some of the predictions of Mode Coupling Theory. The experimental data support the hypothesis of the existence of an ergodic to non-ergodic transition occurring also in network forming glassy systems

Some universal limits for nonhomogeneous birth and death processes

In this paper we consider nonhomogeneous birth and death processes (BDP) with periodic rates. Two important parameters are studied, which are helpful to describe a nonhomogeneous BDP X = X(t), t≥ 0: the limiting mean value (namely, the mean length of the queue at a given time t) and the double mean (i.e. the mean length of the queue for the whole duration of the BDP). We find conditions of existence of the means and determine bounds for their values, involving also the truncated BDP XN. Finally we present some examples where these bounds are used in order to approximate the double mean