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

Mittag-Leffler functionboundary value problemssojourn timeLaplace transformsVandermonde systems

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)

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Cites work

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• Distributions of sojourn time, maximum and minimum for pseudo-processes governed by higher-order heat-type equations
• 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
• First hitting time and place, monopoles and multipoles for pseudo-processes driven by the equation \(\frac{\partial}{\partial t}=\pm \frac {\partial ^{N}}{\partial x^N}\)
• Joint distribution of the process and its sojourn time on the positive half-line for pseudo-processes governed by high-order heat equation
• Joint distributions of the maximum and the process for higher-order diffusions.
• Joint law of the process and its maximum, first hitting time and place of half-line for the pseudo-process driven by the equation \(\frac {\partial}{\partial t}= \pm \frac {\partial^{N}}{\partial x^{N}}\)
• Monopoles and dipoles in biharmonic pseudo process
• On sojourn distributions of processes related to some higher-order heat-type equations
• 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
• Poisson-type processes governed by fractional and higher-order recursive differential equations
• Processes governed by signed measures connected with third-order ``heat- type equations
• The arc-sine law and its analogs for processes governed by signed and complex measures
• The distribution of the local time for ``pseudoprocesses and its connection with fractional diffusion equations

Cited in

(14)

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

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