Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time
The problem of computing the distributions of functionals of the Brownian process stopped at various random moments is considered. The author defines a family of stopping times for which a method of computing the distributions of functionals of stopped Brownian motion is proposed. The moments are obtained by means of the minimum and maximum operations from the moments inverse to some additive functionals. Unique continuous solutions of some considered problems are given and discussed. Also, an example is given at the end of the paper.
- On distribution of functionals of Brownian motion with linear drift
- On distributions of integral functionals of diffusions stopped at inverse range time
- On the planar Brownian Green's function for stopping times
- Distribution of functionals of Brownian motion stopped at a moment inverse to the linear combination of local times
- Distribution of additive functionals of the Brownian motion stopped at various random moment
- Distributions of additive functionals of Brownian motion stopped at moments of maxima and minima of random times
- scientific article; zbMATH DE number 1069525 (Why is no real title available?)
- Sojourn time type functionals of a process obtained by pasting together two Brownian motion processes
- Existence of fixed point in functions of Brownian motion
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