Conditional maximal distributions of processes related to higher-order heat-type equations

Luisa Beghin, Kenneth J. Hochberg and Enzo Orsingher

Stochastic Processes and their Applications, 2000, vol. 85, issue 2, 209-223

Abstract: The conditional Feynman-Kac functional is used to derive the Laplace transforms of conditional maximum distributions of processes related to third- and fourth-order equations. These distributions are then obtained explicitly and are expressed in terms of stable laws and the fundamental solutions of these higher-order equations. Interestingly, it is shown that in the third-order case, a genuine non-negative real-valued probability distribution is obtained.

Keywords: Brownian; motion; Maximal; distribution; Feynman-Kac; functional; Higher-order; heat-type; equations; Signed; measures; Laplace; transforms; Airy; functions; Stable; laws (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (7)

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