Abstract:
Multiple integrals generalizing the iterated kernels of integral operators are expressed as single integrals in the case of a special representation of the kernel (this is our theorem). Besides integral equations, Markov processes involve these integrals as well. As a consequence of the theorem, we obtain transition probability densities of certain Markov processes. As an illustration, we consider nine examples.
Keywords:
multiple integral, integral operator, iterated kernel, Markov process, Fourier integral transform, Hankel integral transform, Bessel function.
This publication is cited in the following 3 articles:
R. N. Miroshin, “Special solutions of the Chapman–Kolmogorov equation for multidimensional-state Markov processes with continuous time”, Vestnik St.Petersb. Univ.Math., 49:2 (2016), 122
R. N. Miroshin, “Representation of a Multiple Integral of Special Form by a Series”, Math. Notes, 93:1 (2013), 137–142
R. N. Miroshin, “On the solution of the Chapman-Kolmogorov integral equation in the form of a series”, Vestnik St.Petersb. Univ.Math., 42:2 (2009), 130