In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types....In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types. Equations with time-varying coefficients are also derived by considering processes endowed either with drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some other properties) is presented.展开更多
基金This work is partially supported by the Natural Science Foundation of Guangdong ProvinceNational Natural Science Foundation of China grant No. 19501026the Alexander yon Humbodlt Foundation
文摘In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types. Equations with time-varying coefficients are also derived by considering processes endowed either with drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some other properties) is presented.
