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 be a positive integer. We consider pseudo-Brownian motion driven by the high-order heat-type equation . Let us introduce the first exit time {\tau}ab from a bounded interval by (). In this paper, we provide a representation of the joint pseudo-distribution of the vector 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 at time , namely , 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