English

First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation $\partial/\partial t = \pm\partial^N/\partial x^N$

Probability 2014-02-14 v1

Abstract

Consider the high-order heat-type equation u/t=±Nu/xN\partial u/\partial t=\pm\partial^N u/\partial x^N for an integer N>2N>2 and introduce the related Markov pseudo-process (X(t))t0(X(t))_{t\ge 0}. In this paper, we study several functionals related to (X(t))t0(X(t))_{t\ge 0}: the maximum M(t)M(t) and minimum m(t)m(t) up to time tt; the hitting times τa+\tau_a^+ and τa\tau_a^- of the half lines (a,+)(a,+\infty) and (,a)(-\infty,a) respectively. We provide explicit expressions for the distributions of the vectors (X(t),M(t))(X(t),M(t)) and (X(t),m(t))(X(t),m(t)), as well as those of the vectors (τa+,X(τa+))(\tau_a^+,X(\tau_a^+)) and (τa,X(τa))(\tau_a^-,X(\tau_a^-)).

Keywords

Cite

@article{arxiv.math/0702541,
  title  = {First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation $\partial/\partial t = \pm\partial^N/\partial x^N$},
  author = {Aimé Lachal},
  journal= {arXiv preprint arXiv:math/0702541},
  year   = {2014}
}

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51 pages