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

DOI10.1214/EJP.V12-399zbMATH Open1128.60028arXivmath/0702541OpenAlexW2089499024MaRDI QIDQ2461972FDOQ2461972

Authors: A. Lachal 

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Consider the high-order heat-type equation $partialu/partialt=pmpartia{l}^{N}u/partial{x}^N$ for an integer $N>2$ and introduce the related Markov pseudo-process $(X(t){)}_{tge0}$. In this paper, we study several functionals related to $(X(t){)}_{tge0}$: the maximum $M(t)$ and minimum $m(t)$ up to time $t$; the hitting times $a{u}_a^{+}$ and $a{u}_a^{-}$ of the half lines $(a,+infty)$ and $(-infty,a)$ respectively. We provide explicit expressions for the distributions of the vectors $(X(t),M(t))$ and $(X(t),m(t))$, as well as those of the vectors $(a{u}_a^{+},X(a{u}_a^{+}))$ and $(a{u}_a^{-},X(a{u}_a^{-}))$.

Full work available at URL: https://arxiv.org/abs/math/0702541

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zbMATH Keywords

heat-type equationSpitzer's identityjoint distribution of the process and its maximum/minimumMarkov pseudo-process

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Generalized stochastic processes (60G20)

Cited In (16)

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

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