Mathematics – Probability
Scientific paper
2011-12-20
Mathematics
Probability
43 p, version 1 basically restored with minor changes, first version Feynman Kac formula basically correct
Scientific paper
We describe generalized Brownian motion related to parabolic equation systems from a logical point of view, i.e., as a generalization of Anderson's random walk. The connection to classical spaces is based on the Loeb measure. It seems that the construction of Roux in [11] is the only attempt in the literature to define generalized Brownian motion related to parabolic systems with coupled second order terms, where Lam\'e's equation of elastic mechanics is considered as an example. In this paper we provide an exact construction from a logical point of view in a more general situation. A Feynman-Kac formula for generalized Brownian motion is derived which is a useful tool in order to design probabilistic algorithms for Cauchy problems and initial-boundary value (of a class of) parabolic systems as well as for stationary boundary problems of (a class of) elliptic equation systems. The article includes a selfcontained introduction into all tools of nonstandard analysis needed, and which can be read with a minimum knowledge of logic in order to make the results available to a wider audience.
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