On distributions of integral functionals of diffusions stopped at inverse range time

DOI10.1007/S10958-018-3702-7MaRDI QIDQ1746399zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 25 April 2018

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-018-3702-7

zbMATH Keywords

diffusionintegral functionalsinverse range time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Recommendations

• Distributions of functionals of diffusions with jumps, stopped at random times
• Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time
• scientific article; zbMATH DE number 1069525
• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum
• Distributions of additive functionals of Brownian motion stopped at moments of maxima and minima of random times

Cites work

• Decomposing the Brownian path via the range process
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• On distribution of functionals of a Brownian motion stopped at the inverse range time
• On the range of Brownian motion and its inverse process
• Stochastic processes. Translated from the Russian

Cited in

(4)

• On the distribution of integral functionals of a homogeneous diffusion process
• On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
• On inverse-power Poisson functionals
• Distributions of functionals of diffusions with jumps, stopped at random times

This page was built for publication: On distributions of integral functionals of diffusions stopped at inverse range time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1746399)