Title of article
Conditional maximal distributions of processes related to higher-order heat-type equations
Author/Authors
Beghin، نويسنده , , Luisa and Hochberg، نويسنده , , Kenneth J. and Orsingher، نويسنده , , Enzo، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
15
From page
209
To page
223
Abstract
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.
Keywords
Airy functions , Stable laws , Brownian motion , Maximal distribution , Higher-order heat-type equations , Signed measures , Laplace transforms , Feynman–Kac functional
Journal title
Stochastic Processes and their Applications
Serial Year
2000
Journal title
Stochastic Processes and their Applications
Record number
1576593
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