Joint distribution of the process and its sojourn time in a half-line [a,+) for pseudo-processes driven by a high-order heat-type equation

DOI10.1016/J.SPA.2011.08.004MaRDI QIDQ655324zbMATH OpenOpenAlexFDO

Authors Valentina Cammarota, A. Lachal

Publication date 4 January 2012

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

Full work available at URL https://doi.org/10.1016/j.spa.2011.08.004

zbMATH Keywords

boundary value problemsLaplace transformsMittag-Leffler functionsojourn timeVandermonde systems

Mathematics Subject Classification ID

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

Review text

Let \((X(t))_{t\geq0}\) be the pseudo-process driven by the high-order heat-type equation \(\frac{\partial u}{\partial t}=\pm\frac{\partial^Nu}{\partial x^N}\), where \(N\) is an integer greater than 2. This paper is devoted to the study of the joint pseudo-distribution of the process and its sojourn time on \([a,\infty)\) for \(a\in\mathbb R\) and any starting point \(x\in\mathbb R\). This leads to a generalization of the results obtained by the two authors in a previous paper where the same joint distribution was obtained for \(a = 0\) and starting point \(x = 0\). In this more general case, the authors follow the Feynman-Kac approach which leads to find the involved results by solving partial differential equations. This highly technical paper is well written and will surely be interesting to specialists.

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Cites work

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Cited in

(14)

• Pseudo-processes governed by higher-order fractional differential equations
• The approximate pseudorandom walk accompanied by the pseudostochastic process corresponding to a higher-order heat-type equation
• Distributions of sojourn time, maximum and minimum for pseudo-processes governed by higher-order heat-type equations
• 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
• First exit time from a bounded interval for pseudo-processes driven by the equation \(\partial /\partial t=(-1)^{N-1}\partial ^{2N}/\partial x^{2N}\)
• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval
• First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation \(\frac{\partial}{\partial t}=\pm \frac {\partial ^{N}}{\partial x^N}\)
• The distribution of the local time for ``pseudoprocesses and its connection with fractional diffusion equations
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• A review on time-changed pseudoprocesses and related distributions
• On sojourn distributions of processes related to some higher-order heat-type equations
• Joint distribution of the process and its sojourn time on the positive half-line for pseudo-processes governed by high-order heat equation
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)

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