The distribution of the local time for ``pseudoprocesses and its connection with fractional diffusion equations

DOI10.1016/J.SPA.2005.02.001MaRDI QIDQ2485863zbMATH OpenOpenAlexFDO

Authors L. Beghin, Enzo Orsingher

Publication date 5 August 2005

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

Full work available at URL https://doi.org/10.1016/j.spa.2005.02.001

zbMATH Keywords

Feynman-Kac functionalheat-type equationMittag-Leffler functionsstable lawsVandermonde determinantWright functions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Local time and additive functionals (60J55)

Review text

In high-order heat-type equations, the second space derivative is replaced with a derivative of order \(n\geq 2\). The fundamental solution of this equation has been used for a long time to construct a signed measure on a space of bounded functions, giving birth to pseudo processes. The paper is devoted to the study of the local time in zero of a pseudoprocess. Its double Laplace transform is computed, its density is evaluated in terms of the solution of a fractional diffusion equation, and the form of this density is analysed. The distribution of the local time in zero for the pseudoprocess related to Myiamoto's equation is also derived and examined together with the corresponding telegraph-type fractional equation.

Recommendations

• Pseudo-processes governed by higher-order fractional differential equations
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Cited in

(19)

• Fractional diffusion equations and processes with randomly varying time
• Pseudo-processes governed by higher-order fractional differential equations
• On the third initial-boundary value problem for some class of pseudo-differential equations related to a symmetric \(\alpha\)-stable process
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