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

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.
Year of publication:
2000
Authors: Beghin, Luisa ; Hochberg, Kenneth J. ; Orsingher, Enzo
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 2, p. 209-223
Publisher: Elsevier
Keywords: Brownian motion Maximal distribution Feynman-Kac functional Higher-order heat-type equations Signed measures Laplace transforms Airy functions Stable laws
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008875735
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