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

DOI10.1214/EJP.V12-399MaRDI QIDQ2461972zbMATH OpenOpenAlexFDO

Authors A. Lachal

Publication date 23 November 2007

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

Full work available at URL https://arxiv.org/abs/math/0702541, https://eudml.org/doc/128281

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)

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 $(a{u}_a^{-},X(a{u}_a^{-}))$.

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Cited in

(16)

• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval
• A review on time-changed pseudoprocesses and related distributions
• Pseudoprocesses related to higher-order equations of vibrations of rods
• Bessel processes and hyperbolic Brownian motions stopped at different random times
• First exit time from a bounded interval for pseudo-processes driven by the equation \(\partial /\partial t=(-1)^{N-1}\partial ^{2N}/\partial x^{2N}\)
• Vibrations and fractional vibrations of rods, plates and Fresnel pseudo-processes
• On the convolution powers of complex functions on \(\mathbb{Z}\)
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• Joint distribution of the process and its sojourn time in a half-line \([a,+\infty)\) for pseudo-processes driven by a high-order heat-type equation
• First passage leapovers of Lévy flights and the proper formulation of absorbing boundary conditions
• On behaviors of the stochastic pseudo processes governed by third-order heat type equations
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)
• General Airy-type equations, heat-type equations and pseudo-processes
• An approach to the pseudoprocess driven by the equation \(\frac{\partial}{\partial t}=-A\frac{\partial^3}{\partial x^3}\) by a random walk
• A survey on the pseudo-process driven by the high-order heat-type equation \(\partial/\partial t=\pm\partial^N\!/\partial x^N\) concerning the hitting and sojourn times

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