Generalised transforms, quasi-diffusions, and Désiré André's equation (Q4028980)
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scientific article; zbMATH DE number 140553
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| English | Generalised transforms, quasi-diffusions, and Désiré André's equation |
scientific article; zbMATH DE number 140553 |
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28 March 1993
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strings
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Brownian motion
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local time
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first passage relation
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0.7546780705451965
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0.750489354133606
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0.7348895072937012
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0.7272124886512756
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Generalised transforms, quasi-diffusions, and Désiré André's equation (English)
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[For the entire collection see Zbl 0754.00008.] The author tackles the problem of computing the distribution of \(B_ \tau\): \(B\) is the Brownian motion starting at \(x>l>0\), \(\tau=\inf\{t:t>0,\;v_ t>0\}\) where \(v_ t=\int L(a,t)m(da)\). Here \(L(\cdot,\cdot)\) is the local time and \(m\) is a signed measure with certain properties. The method uses the first passage relation to obtain an integral equation for the distribution sought for.
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