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

TL;DR

This paper investigates the joint distribution of the process and its sojourn time for pseudo-processes governed by high-order heat equations, providing explicit formulas for their joint distribution.

Contribution

It introduces explicit expressions for the joint distribution of the process and its sojourn time for high-order heat-type pseudo-processes, a novel analysis in this context.

Findings

Explicit joint distribution formulas derived

Analysis extends understanding of high-order heat pseudo-processes

Provides tools for future probabilistic studies of such processes

Abstract

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 $(T(t),X(t))$.