Laplace -transform of distributions
We start with a general time-homogeneous scalar diffusion whose state space is an interval I ⊆ ℝ. If it is started at x ∈ I, then we consider the problem of imposing upper and/or lower boundary conditions at two points a,b ∈ I, where a < x < b. Using a simple integral identity, we derive general expressions for the Laplace transform of the transition density of the process, if killing or reflecting boundaries are specified. We also obtain a number of useful expressions for the Laplace transforms...
Several representations of the space of Laplace ultradistributions supported by a half line are given. A strong version of the quasi-analyticity principle of Phragmén-Lindelöf type is derived.
The space of Laplace ultradistributions supported by a convex proper cone is introduced. The Seeley type extension theorem for ultradifferentiable functions is proved. The Paley-Wiener-Schwartz type theorem for Laplace ultradistributions is shown. As an application, the structure theorem and the kernel theorem for this space of ultradistributions are given.