Distribution of functionals of a Brownian motion with nonstandard switching (Q2246204)

The topic of this paper is the switching from one set of diffusion coefficients to another one. In the standard case the switching is governed by the jumps of a Poisson process independent of the initial diffusion. In this paper, the author deals with the switching of the variance of a one-dimensional Brownian motion where the switching times depend on the trajectories of the process itself. The main result is a rather explicit form of the joint distribution of integral functionals of the Brownian motion with switching variance, where the variance takes one of two values. An interesting application is to the switching based on the moment inverse to local time.