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

DOI10.1016/j.spa.2013.09.016zbMath1319.60076arXiv1402.1825MaRDI QIDQ2434757

Aimé Lachal

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.1825

zbMATH Keywords

Laplace transform; first exit time; Hermite interpolating polynomials; pseudo-processes; pseudo-Brownian motion

Mathematics Subject Classification ID

60K99: Special processes

60G40: Stopping times; optimal stopping problems; gambling theory

60G20: Generalized stochastic processes