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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:85

Article

Beghin, L ; Hochberg, KJ ; Orsingher, E

关键词: Brownian motion;    maximal distribution;    Feynman-Kac functional;    higher-order heat-type equations;    signed measures;    Laplace transforms;    airy functions;    stable laws;   

DOI  :  10.1016/S0304-4149(99)00074-5

来源: Elsevier

【 摘 要 】

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. (C) 2000 Elsevier Science B.V. All rights reserved.

【 授权许可】

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