Elastic drifted Brownian motions and non-local boundary conditions

D’Ovidio, Mirko and Francesco Iafrate

Stochastic Processes and their Applications, 2024, vol. 167, issue C

Abstract: We provide a deep connection between elastic drifted Brownian motions and inverses to tempered subordinators. Based on this connection, we establish a link between multiplicative functionals and dynamical boundary conditions given in terms of non-local equations in time. Indeed, we show that the multiplicative functional associated to the elastic Brownian motion with drift is equivalent to a functional associated with non-local boundary conditions of tempered type. By exploiting such connections we write some functionals of the drifted Brownian motion in terms of a simple (positive and non-decreasing) process, the inverse of a tempered subordinator. In our view, such a representation is useful in many applications and brings new light on dynamic boundary value problems.

Date: 2024
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DOI: 10.1016/j.spa.2023.104228

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