On first range times of linear diffusions

DOI10.1007/s10959-005-3519-4zbMath1085.60057OpenAlexW2095533553MaRDI QIDQ2576792

Pierre Vallois, Paavo H. Salminen

Publication date: 14 December 2005

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

Full work available at URL: https://doi.org/10.1007/s10959-005-3519-4

zbMATH Keywords

Brownian motionBessel functionsRay-Knight theorem\(h\)-transformBessel bridge

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Probabilistic potential theory (60J45)

Related Items (6)

Range-renewal processes: SLLNs and power laws ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ Range of Brownian motion with drift ⋮ Some properties of bivariate Schur-constant distributions ⋮ Diffusion local time storage ⋮ A law of uniform seniority for dependent lives

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