First exit time from a bounded interval for a certain class of additive functionals of Brownian motion

DOI10.1023/A:1007810528683zbMATH Open0978.60093MaRDI QIDQ1592272FDOQ1592272

Authors: A. Lachal 

Publication date: 15 January 2002

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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zbMATH Keywords

hypergeometric functionsfirst exit timeAbel's integral equationexcursion process

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited In (14)

• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
• Persistence and exit times for some additive functionals of skew Bessel processes
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• On the first-passage time of integrated Brownian motion
• On the conditional expectation of the first exit time of Brownian motion
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• Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
• The influence of a power law drift on the exit time of Brownian motion from a half-line
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• Factorising Brownian motion at two boundaries; an example
• Chung's law for homogeneous Brownian functionals
• Understanding average Brownian exit time

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