MULTIVARIATE PARTIAL DIFFERENTIAL EQUATION DESCRIBING THE EVOLUTION OF A GAUSSIAN PROCESS

DOI10.1142/S0219493709002750zbMath1196.60063WikidataQ115245734 ScholiaQ115245734MaRDI QIDQ3405581

Mark S. Veillette, Murad S. Taqqu

Publication date: 10 February 2010

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

parabolic partial differential equationsfractional Brownian motionGaussian processesself-similar processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Higher-order parabolic equations (35K25)

Cites Work

• Applied stochastic processes.
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
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