{"entities":{"Q1603210":{"pageid":1613950,"ns":120,"title":"Item:Q1603210","lastrevid":67965066,"modified":"2026-04-12T20:31:53Z","type":"item","id":"Q1603210","labels":{"en":{"language":"en","value":"On distribution of functionals of a Brownian motion stopped at the inverse range time"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1759031"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1603210$9405EE5B-196E-44D9-9DEC-23C9406DDA58","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"bd0502fe184e11c4beb76cc69788862f57201fa6","datavalue":{"value":{"text":"On distribution of functionals of a Brownian motion stopped at the inverse range time","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1603210$21ACAA9A-F74D-4CF5-B97F-5D7217BA5B32","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"1ffa794d8db75421a0bd88caabcc5982bd443ef1","datavalue":{"value":"0998.60083","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$6C7EC489-FCCB-416C-9166-A599FE1EAE56","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"5ea77d804334c0a76b91514597425b23581bca6e","datavalue":{"value":"10.1023/A:1014517030107","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$3A36CA89-6A79-46B1-A5FE-4A029C020427","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"872b644dd46802ae9e83ca0faed26d9cae7ab789","datavalue":{"value":{"entity-type":"item","numeric-id":292311,"id":"Q292311"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1603210$2BCB802D-CA2B-4C1E-A3C6-52B95E17CAE8","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"17c447c8e76a3a0e73a2c70a024d9ee2f8256c04","datavalue":{"value":{"entity-type":"item","numeric-id":195577,"id":"Q195577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1603210$1B4DC476-D1EC-43F8-B48A-4D69FF428FB5","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"40f881f65bc05ed5b776444ff2e25d05d9ca10c0","datavalue":{"value":{"time":"+2002-06-25T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1603210$FE50C009-C89D-447C-8A10-431CC04B7E33","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"5323f0349e48b9b536714b2d2cf68fdb055f8b73","datavalue":{"value":"Consider a real Brownian motion \\(W\\), its local time \\(l(t,z)\\), its inverse range process  \\[ \\theta_v:=\\text{Inf}\\left\\{t\\left|\\sup_{0\\leq s\\leq t}W_s\\right. -\\underset{0\\leq s\\leq t} {\\text{Inf}} W_s=v\\right\\}, \\]  \\(f:\\mathbb{R}\\to\\mathbb{R}_+\\), \\(x\\in \\mathbb{R}^d\\), \\(\\gamma_1,\\dots,\\gamma_k\\geq 0\\), and the two functionals  \\[ A_t:=\\int^t_0f(W_s)ds+\\sum^k_{j=1}\\gamma_jl(t,x_j),\\quad B_t:=\\int^\\infty_{-\\infty}f(l(t,z))dz. \\]  Then it is proved that  \\[ \\frac{\\partial}{\\partial y}\\mathbb{E}_x\\left(e^{-A_{\\theta_v}}\\times 1_{\\{W_{\\theta_v}<y\\}}\\right)=\\frac{\\partial}{\\partial v}\\mathbb{E}_x\\left(e^{-A_{H_{y,y+v}}}\\times 1_{W_{\\{H_{y,y+v}}=y\\}}\\right) \\]  for \\(x-v<y<x\\), where \\(H_{a,b}\\) denotes the exit time of \\(]a,b[\\) for \\(W\\). This allows to deduce formulae relative to \\(\\theta_v\\) from known formulae relative to \\(H_{a,b}\\).   For example it is proved that the process \\(z\\mapsto l(t,z)\\) is Markovian, and its law is precisely calculated. Then the law of \\(\\text{Sup}_{z\\in\\mathbb{R}} l(\\theta_v,z)\\) is computed, and so is also the Laplace transform of its joint law with \\(B_{\\theta_v}\\). This is finally extended to the case of \\(W\\) having a constant drift.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$CBFDCC49-0554-4227-B82A-A737DD6A9600","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"afd9d387d5b495e8550df0b9214728717d6de8b5","datavalue":{"value":{"entity-type":"item","numeric-id":177306,"id":"Q177306"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1603210$07789BF6-BD69-4C5F-B93A-9868DF039A4E","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"3b27a9dd329983c5b25a374d752bed299934c73d","datavalue":{"value":"60J65","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$C4FA7E08-1C26-4C18-96F9-5D37522BB846","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"6e0e439813fbf5e4d372bca5db5b7a21ee3e3e8d","datavalue":{"value":"60J55","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$30620276-77DC-42A5-82BF-4ADB54A25AA2","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"cedabcce7ec118d7b1eda2d6e0d2e15a2fd19e5d","datavalue":{"value":"1759031","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$2AEC9438-26A4-4B4D-A44B-45ACDD130810","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e8614bf31aab7a804d40f47fee75a9a8059d4af5","datavalue":{"value":"Brownian motion","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$629BF427-B3FD-4337-AFCC-37B726A2A990","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e94d21cd393592d91d97b6de92354310cce78353","datavalue":{"value":"local time","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$F97922DC-B7CF-4C44-A2B8-178C5B6A643D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"af37d5843967c52ef9fd59a0b2bdf55af0b2e984","datavalue":{"value":"inverse range process","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$A36E78D7-0988-435D-9CEB-BF0DF0AC50B4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"241824d44daac6455df8d8c381572891075741f0","datavalue":{"value":"additive functionals","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$60DD7A78-330C-4D4C-BBB1-D024AF643119","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"7fa3ccb3d004c95f07514d1a913f0b07921c37cc","datavalue":{"value":"constant drift","type":"string"},"datatype":"string"},"type":"statement","id":"Q1603210$629BAFC1-96E4-482E-B665-A6337A5EF256","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1603210$246AD538-659E-4ECF-975E-60002669FE44","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"e60bc1bd900fb23b1fbc33508f021ae5acd8b273","datavalue":{"value":"https://doi.org/10.1023/a:1014517030107","type":"string"},"datatype":"url"},"type":"statement","id":"Q1603210$AF385AFF-DD8B-4C14-997C-DCB118EC0A6A","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"8031abc1680f749fd3c51872e0e55b2a9b9fa8c0","datavalue":{"value":"W140934838","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1603210$98625EB0-199E-4FCB-9CB4-ED577BA212A6","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2a0512977c0773c9badf8154e602aedb340cee13","datavalue":{"value":{"entity-type":"item","numeric-id":3363638,"id":"Q3363638"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c6b4f6c50e226e06e4a77c21c7773361b164b00a","datavalue":{"value":{"amount":"+0.9063381552696228","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1603210$9A2481E8-F309-41AE-B0E9-6EFD1F9A3017","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5ac7b6b10eac58bb2cfa0d8914dcf6b6a90f1814","datavalue":{"value":{"entity-type":"item","numeric-id":3362574,"id":"Q3362574"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0c855afb0c5193a65060ed37bfd7df43dc1ddd8f","datavalue":{"value":{"amount":"+0.8881973028182983","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1603210$B3B6A348-44B7-4DBB-BC87-1F4852C21841","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c2ce90fc467b51e81061d862c1f5e436835e5901","datavalue":{"value":{"entity-type":"item","numeric-id":2567726,"id":"Q2567726"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1f333bc84fea9de15165a8517ff73c7b696b9d9e","datavalue":{"value":{"amount":"+0.8783416748046875","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1603210$D786960E-0A1A-484D-B322-33A43D24BBE5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"df36ddc40ddc2ed5346d13c1b7cff6eda99248c7","datavalue":{"value":{"entity-type":"item","numeric-id":3468412,"id":"Q3468412"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"af27644c803721fbda6188828857973a0539421f","datavalue":{"value":{"amount":"+0.8600342273712158","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1603210$F0ED633E-4CDA-40F7-908B-CEBB6E4AB92E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1792ed36cf193d83566df646b7819dfa055687cd","datavalue":{"value":{"entity-type":"item","numeric-id":4356483,"id":"Q4356483"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b893ccdca42be17b7b0d235b79ae261d6707eae2","datavalue":{"value":{"amount":"+0.8533152937889099","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1603210$F70E3A31-D243-4BAB-A77F-3D76A441D117","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"On distribution of functionals of a Brownian motion stopped at the inverse range time","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/On_distribution_of_functionals_of_a_Brownian_motion_stopped_at_the_inverse_range_time"}}}}}