Distributions of Functionals of the Brownian Local Time I

DOI10.1137/1134048MaRDI QIDQ3468412zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 1989

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1134048

zbMATH Keywords

Brownian local timeLaplace transformationmethod of integral equationsstopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55) Brownian motion (60J65)

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• Brownian local times
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• On certain functionals of the maximum of Brownian motion and their applications
• Penalizations of the Brownian motion with a functional of its local times

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