Elastic drifted Brownian motions and non-local boundary conditions

DOI10.1016/j.spa.2023.104228arXiv2111.14601OpenAlexW3215829799MaRDI QIDQ6186386

Mirko D'Ovidio, F. Iafrate

Publication date: 9 January 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.14601

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Diffusion processes (60J60) Stable stochastic processes (60G52) Fractional partial differential equations (35R11)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tempered fractional calculus
• On fractional tempered stable processes and their governing differential equations
• General fractional calculus, evolution equations, and renewal processes
• A probabilistic solution to the Stroock-Williams equation
• On the fractional counterpart of the higher-order equations
• On the sojourn time of a generalized Brownian meander
• Tempering stable processes
• Fractional diffusion equations and processes with randomly varying time
• On the joint distribution of the maximum and its location for a linear diffusion
• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• Weyl and Marchaud derivatives: a forgotten history
• Time fractional equations and probabilistic representation
• Fractional boundary value problems
• Fractional Cauchy problems on bounded domains
• Drifted Brownian motions governed by fractional tempered derivatives
• Derivation and physical interpretation of general boundary conditions
• Further study of a simple PDE
• Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
• Brownian motions on a half line
• The parabolic differential equations and the associated semigroups of transformation
• Tempered relaxation equation and related generalized stable processes
• Time-Changed Processes Governed by Space-Time Fractional Telegraph Equations
• Sticky Brownian motion as the limit of storage processes
• The joint density of the maximum and its location for a Wiener process with drift
• The fundamental solution of the space-time fractional diffusion equation
• Estimates for a general fractional relaxation equation and application to an inverse source problem
• Stochastic Volatility for Lévy Processes
• The last zero-crossing of an iterated brownian motion with drift
• Delayed and rushed motions through time change
• Sticky Brownian Motion and Its Numerical Solution
• A simple PDE and Wiener‐Hopf Riccati equations
• Bernstein functions. Theory and applications

This page was built for publication: Elastic drifted Brownian motions and non-local boundary conditions