From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval

DOI10.1155/2014/520136zbMath1319.60077arXiv1301.6579OpenAlexW1964177554WikidataQ59047020 ScholiaQ59047020MaRDI QIDQ2444217

Aimé Lachal

Publication date: 9 April 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.6579

zbMATH Keywords

first exit timepseudo-Brownian motionpseudorandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Generalized stochastic processes (60G20)

Related Items (6)

An Analogue of the Feynman--Kac Formula for a High-Order Operator ⋮ Symmetric \(\alpha\)-stable distributions with noninteger \(\alpha > 2\) and related stochastic processes ⋮ First exit time from a bounded interval for pseudo-processes driven by the equation \(\partial /\partial t=(-1)^{N-1}\partial ^{2N}/\partial x^{2N}\) ⋮ Probabilistic Representation of a Solution of the Cauchy Problem for Evolution Equations with Riemann--Liouville Operators ⋮ Estimates for functionals of solutions to higher-order heat-type equations with random initial conditions ⋮ Probabilistic representation formula for the solution of fractional high-order heat-type equations

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