English

First exit time from a bounded interval for pseudo-processes driven by the equation $\partial/\partial t=(-1)^{N-1}\partial^{2N}/\partial x^{2N}$

Probability 2014-02-11 v1

Abstract

Let NN be a positive integer. We consider pseudo-Brownian motion X=(X(t))t0X=(X(t))_{t\ge 0} driven by the high-order heat-type equation /t=(1)N12N/x2N\partial/\partial t=(-1)^{N-1}\partial^{2N}/\partial x^{2N}. Let us introduce the first exit time {\tau}ab from a bounded interval (a,b)(a,b) by XX (a,bRa,b\in\mathbb{R}). In this paper, we provide a representation of the joint pseudo-distribution of the vector (τab,X(τab))(\tau_{ab},X(\tau_{ab})) by means of Vandermonde-like determinants. The method we use is based on the Feynman-Kac functional related to pseudo-Brownian motion which leads to a boundary value problem. In particular, the pseudo-distribution of the location of XX at time τab\tau_{ab}, namely X(τab)X(\tau_{ab}), admits a fine expression involving famous Hermite interpolating polynomials.

Cite

@article{arxiv.1402.1825,
  title  = {First exit time from a bounded interval for pseudo-processes driven by the equation $\partial/\partial t=(-1)^{N-1}\partial^{2N}/\partial x^{2N}$},
  author = {Aimé Lachal},
  journal= {arXiv preprint arXiv:1402.1825},
  year   = {2014}
}

Comments

28 pages

R2 v1 2026-06-22T03:04:00.162Z