From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval (Q2444217)

Summary: Let \(N\) be a positive integer, \(c\) a positive constant and \((\xi_n)_{n\geq 1}\) be a sequence of independent identically distributed pseudorandom variables. We assume that the \(\xi_n\)'s take their values in the discrete set \(\{-N,-N+1,\dots,N-1,N\}\) and that their common pseudodistribution is characterized by the (positive or negative) real numbers \(\mathbb P\{\xi_n=k\}=\delta_{k0}+(-1)^{k-1}c\binom{2N}{k+N}\) for any \(k\in\{-N,-N+1,\dots,N-1,N\}\). Let us finally introduce \((S_n)_{n\geq 0}\), the associated pseudorandom walk defined on \(\mathbb Z\), by \(S_0=0\) and \(S_n=\sum^n_{j=1}\xi_j\) for \(n\geq 1\). In this paper, we exhibit some properties of \((S_n)_{n\geq 0}\). In particular, we explicitly determine the pseudodistribution of the first overshooting time of a given threshold for \((S_n)_{n\geq 0}\) as well as that of the first exit time from a bounded interval. Next, with an appropriate normalization, we pass from the pseudorandom walk to the pseudo-Brownian motion driven by the high-order heat-type equation \(\partial/\partial t=(-1)^{N-1}c\partial^{2N}/\partial x^{2N}\). We retrieve the corresponding pseudodistribution of the first overshooting time of a threshold for the pseudo-Brownian motion [\textit{A. Lachal}, Electron. J. Probab. 12, 300--353 (2007; Zbl 1128.60028)]. In the same way, we get the pseudodistribution of the first exit time from a bounded interval for the pseudo-Brownian motion, which is a new result for this pseudoprocess.