Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
@article{Allouba2002BrowniantimePT, title={Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula}, author={Hassan Allouba}, journal={Transactions of the American Mathematical Society}, year={2002}, volume={354}, pages={4627-4637} }
We delve deeper into our study of the connection of Brownian-time processes (BTPs) to fourth-order parabolic PDEs, which we introduced in a recent joint article with W. Zheng. Probabilistically, BTPs and their cousins BTPs with excursions form a unifying class of interesting stochastic processes that includes the celebrated IBM of Burdzy and other new intriguing processes and is also connected to the Markov snake of Le Gall. BTPs also offer a new connection of probability to PDEs that is…
54 Citations
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