Joint distribution of the process and its sojourn time for pseudo-processes governed by high-order heat equation

Details Joint distribution of the process and its sojourn time for pseudo-processes governed by high-order heat equation Joint distribution of the process and its sojourn time for pseudo-processes governed by high-order heat equation

2010-01-23

arxiv.org/abs/1001.4201v2

Mathematics

Probability

Scientific paper

Consider the high-order heat-type equation $\partial u/\partial t=\pm \partial^N u/\partial x^N$ for an integer $N>2$ and introduce the related Markov pseudo-process $(X(t))_{t\ge 0}$. In this paper, we study the sojourn time $T(t)$ in the interval $[0,+\infty)$ up to a fixed time $t$ for this pseudo-process. We provide explicit expressions for the joint distribution of the couple $(T(t),X(t))$.

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