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

preprint2010arXivOpen access

Abstract

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

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