First hitting time and place for pseudo-processes driven by the equation t = ^N x^N subject to a linear drift

DOI10.1016/J.SPA.2007.03.009zbMATH Open1136.60026OpenAlexW2090734887MaRDI QIDQ2469488FDOQ2469488

Authors: A. Lachal 

Publication date: 6 February 2008

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.009

Recommendations

• First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation \(\frac{\partial}{\partial t}=\pm \frac {\partial ^{N}}{\partial x^N}\)
• 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
• On the joint distribution of the first hitting time and the first hitting place to the space-time wedge domain of a biharmonic pseudo process
• First exit time from a bounded interval for pseudo-processes driven by the equation \(\partial /\partial t=(-1)^{N-1}\partial ^{2N}/\partial x^{2N}\)
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)

zbMATH Keywords

boundary value problemspseudo-processfirst hitting time and placeescape pseudo-probabilityjoint distribution of the process and its maximumSpitzer identities

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Generalized stochastic processes (60G20)

Cites Work

• Title not available (Why is that?)
• Joint distributions of the maximum and the process for higher-order diffusions.
• A signed measure on path space related to Wiener measure
• Conditional maximal distributions of processes related to higher-order heat-type equations
• Distributions of sojourn time, maximum and minimum for pseudo-processes governed by higher-order heat-type equations
• Monopoles and dipoles in biharmonic pseudo process
• On the joint distribution of the first hitting time and the first hitting place to the space-time wedge domain of a biharmonic pseudo process
• Title not available (Why is that?)
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)
• Joint distribution of the first hitting time and first hitting place for a random walk

Cited In (16)

• On the joint distribution of the first hitting time and the first hitting place to the space-time wedge domain of a biharmonic pseudo process
• A review on time-changed pseudoprocesses and related distributions
• Pseudoprocesses on a circle and related Poisson kernels
• First exit time from a bounded interval for pseudo-processes driven by the equation \(\partial /\partial t=(-1)^{N-1}\partial ^{2N}/\partial x^{2N}\)
• Bessel processes and hyperbolic Brownian motions stopped at different random times
• Limit theorems on convergence of expectations of functionals of sums of independent random variables to solutions of initial-boundary value problems
• First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation \(\frac{\partial}{\partial t}=\pm \frac {\partial ^{N}}{\partial x^N}\)
• Limit theorems for symmetric random walks and probabilistic approximation of the Cauchy problem solution for Schrödinger type evolution equations
• First passage leapovers of Lévy flights and the proper formulation of absorbing boundary conditions
• An approach to the biharmonic pseudo process by a random walk.
• 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
• Title not available (Why is that?)
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)
• 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
• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval

This page was built for publication: First hitting time and place for pseudo-processes driven by the equation \(\frac {\partial}{\partial t} = \pm \frac {\partial ^N}{\partial x^N}\) subject to a linear drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2469488)