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

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.

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Year of publication:	2014
Authors:	Lachal, Aimé
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1084-1111
Publisher:	Elsevier
Subject:	Pseudo-Brownian motion \| First exit time \| Laplace transform \| Hermite interpolating polynomials

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065033