On matching diffusions, Laplace transforms and partial differential equations

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Jakubowski, Jacek¹  Wisniewolski, Maciej¹ 

[1] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland

关键词: Brownian motion;    Squared Bessel process;    Laplace transform;    Diffusion;    Feynman-Kac theorem;    Partial differential equations;   

DOI  :  10.1016/j.spa.2015.04.003

来源: Elsevier

【 摘 要 】

We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present implications of the method and give its applications. The examples give new results on stochastic processes including a generalized squared Bessel processes. We present a version of the method and its applications to PDE of the second order. A new dependence between diffusions and solutions of hyperbolic PDE is presented. The version of Feynman-Kac representation for hyperbolic PDE is given. It is presented the simple form of Laplace transform of wave equation with axial symmetry. (C) 2015 Elsevier B.V. All rights reserved.

【 授权许可】

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