Probabilistic solutions of high order partial differential equations
We consider a stochastic differential equation in which the noise is the sum of a white noise, a Poisson noise and a continuous time Markov chain. The probability densities governing the dynamics solve high order partial differential equations and the solutions are expressible as convolutions of the densities characterizing the noise components. Relevant physical examples are presented. © 1993.
BiBoS and Fakultät für Physik, Universität Bielefeld, W-4800 Bielefeld 1, Germany
Cited By (since 1996): 2
Export Date: 6 December 2012
Language of Original Document: English
Correspondence Address: Blanchard, Ph.; BiBoS and Fakultät für Physik, Universität Bielefeld, W-4800 Bielefeld 1, Germany
Record created on 2013-01-07, modified on 2016-08-09