First exit time from a bounded interval for pseudo-processes driven by the equation ∂/∂t=(−1)N−1∂2N/∂x2N

Aimé Lachal

Stochastic Processes and their Applications, 2014, vol. 124, issue 2, 1084-1111

Abstract: Let N be an integer greater than 1. We consider the pseudo-process X=(Xt)t≥0 driven by the high-order heat-type equation ∂/∂t=(−1)N−1∂2N/∂x2N. Let us introduce the first exit time τab from a bounded interval (a,b) by X (a,b∈R) together with the related location, namely Xτab.

Keywords: Pseudo-Brownian motion; First exit time; Laplace transform; Hermite interpolating polynomials (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2013.09.016

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