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.(c) 2023 Elsevier B.V. All rights reserved.

Elastic drifted Brownian motions and non-local boundary conditions / D'Ovidio, M.; Iafrate, F.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 167:(2024). [10.1016/j.spa.2023.104228]

Elastic drifted Brownian motions and non-local boundary conditions

D'Ovidio M.;Iafrate F.
2024

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.(c) 2023 Elsevier B.V. All rights reserved.
2024
non-local boundary value probelms, brownian motion with drift, lifetimes
01 Pubblicazione su rivista::01a Articolo in rivista
Elastic drifted Brownian motions and non-local boundary conditions / D'Ovidio, M.; Iafrate, F.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 167:(2024). [10.1016/j.spa.2023.104228]
File allegati a questo prodotto
File Dimensione Formato  
DOvidio_Elastic_2024.pdf

accesso aperto

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 2.65 MB
Formato Adobe PDF
2.65 MB Adobe PDF

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1709777
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact