Computations of moments for discounted Brownian additive functionals (Q1293332): Difference between revisions

Let \((l_t^x)\) be the local time of the one-dimensional standard Brownian motion at \(x\). We call a functional \(F\) a general discounted Brownian additive functional if \(F\) is defined by \(F(u) = \int_R \mu(du) \int_0^{\infty} e^{-s} d_sl_s^x\), where \(\mu(dx)\) is a Radon measure on \(R\). The main purpose of this paper is to find a recurrence formula for the moments function of the general discounted Brownian additive functional. Using this result, the joint moments of the discounted local time and the discounted time spent above \(0\) will be derived.