High order heat-type equations and random walks on the complex plane

Stefano Bonaccorsi and Sonia Mazzucchi

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 797-818

Abstract: A probabilistic construction for the solution of a general class of high order heat-type equations is constructed in terms of the scaling limit of random walks in the complex plane.

Keywords: Partial differential equations; Probabilistic representation of solutions of PDEs; Stochastic processes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2014.08.010

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