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

DOI10.1016/j.spa.2007.03.009zbMath1136.60026MaRDI QIDQ2469488

Aimé 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

zbMATH Keywords

boundary value problems; pseudo-process; first hitting time and place; escape pseudo-probability; joint distribution of the process and its maximum; Spitzer identities

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60G20: Generalized stochastic processes