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Hyperbolic equations arising in random models

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  • Orsingher, Enzo

Abstract

In this paper, models connected with hyperbolic partial differential equations are analysed. In particular a planar motion whose probability law is a solution of the equation of telegraphy is studied. Also the motion of a fluid-driven particle is considered and its probability distribution explicitly obtained. Linear transformations of relativistic nature are also analysed.

Suggested Citation

  • Orsingher, Enzo, 1985. "Hyperbolic equations arising in random models," Stochastic Processes and their Applications, Elsevier, vol. 21(1), pages 93-106, December.
    • Handle: RePEc:eee:spapps:v:21:y:1985:i:1:p:93-106
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    Citations

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    Cited by:

    1. Maciej Trzetrzelewski, 2013. "Relativistic Black-Scholes model," Papers 1307.5122, arXiv.org, revised Feb 2018.
    2. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2021. "Transformations of Telegraph Processes and Their Financial Applications," Risks, MDPI, vol. 9(8), pages 1-21, August.
    3. Devi, Vinita & Maurya, Rahul Kumar & Singh, Somveer & Singh, Vineet Kumar, 2020. "Lagrange’s operational approach for the approximate solution of two-dimensional hyperbolic telegraph equation subject to Dirichlet boundary conditions," Applied Mathematics and Computation, Elsevier, vol. 367(C).
    4. Filliger, Roger & Hongler, Max-Olivier, 2004. "Supersymmetry in random two-velocity processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 141-150.
    5. Kolesnik, Alexander D. & Turbin, Anatoly F., 1998. "The equation of symmetric Markovian random evolution in a plane," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 67-87, June.
    6. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
    7. Iacus, Stefano Maria, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Statistics & Probability Letters, Elsevier, vol. 55(1), pages 83-88, November.

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