Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion) (Q1181804)

Let \(\{B_ t,\;t\in\mathbb{R}^ +\}\) be the standard and \(\{X_ t,\;t\in\mathbb{R}^ +\}\) the integrated Brownian motion processes, respectively, and consider the two-dimensional process \(U_ t=\{X_ t+x+ty,B_ t+y\}\), \(t\in\mathbb{R}^ +\) and \((x,y)\in\mathbb{R}^ 2\). Let \(\tau_ a\) be the first entrance time of \(U_ t\) of a set \(\{a\}\times\mathbb{R}^ +\), and \(\sigma_{ab}\) that of \(B_ t+y\) to enter \(\{a,b\}\). The author derives the joint distribution of the pairs \(\{\tau_ a,U_{\tau_ a}\},\{\sigma_{ab},X_{\sigma_{ab}}\}\). The last pair was considered by \textit{M. Lefebvre} [SIAM J. Appl. Math. 49, No. 5, 1514-1523 (1989; Zbl 0681.60084)] in a complicated way when \(a=b\). The joint distributions of various functionals of \(U_ t\) and the first passage times were considered by several authors before. But an explicit joint distribution of \(\{\tau_ a,U_{\tau_ a}\}\) is given. Several properties of special functions (e.g. Bessel and Airy functions) need be employed carefully in these studies and this accounts for the difficulty in obtaining explicit formulas.