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A Note on Planar Random Motion at Finite Speed

Part of: Special processes Stochastic analysis Nonparametric inference Markov processes

Published online by Cambridge University Press:  14 July 2016

Alexander D. Kolesnik
Alexander D. Kolesnik*
Affiliation:
Academy of Sciences of Moldova
*
∗Postal address: Institute of Mathematics and Computer Science, Academy of Sciences of Moldova, Academy Street 5, Kishinev, MD-2028, Moldova. Email address: kolesnik@math.md
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Abstract

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A simple derivation of the explicit form of the transition density of a planar random motion at finite speed, based on some specific properties of the wave propagation on the plane R2, is given.

Keywords

Random motionfinite speedrandom evolutionexplicit probability lawwave propagationwave diffusionwave equationfundamental solutionHuygens principle

MSC classification

Secondary: 60K99: None of the above, but in this section 62G30: Order statistics; empirical distribution functions 60K35: Interacting random processes; statistical mechanics type models; percolation theory 60J60: Diffusion processes 60H30: Applications of stochastic analysis (to PDE, etc.)

Information

Type
Research Article
Information
Journal of Applied Probability , Volume 44 , Issue 3 , September 2007 , pp. 838 - 842
Copyright
Copyright © Applied Probability Trust 2007 

References

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