Distributions of Functionals of the Brownian Local Time I

DOI10.1137/1134048zbMATH Open0693.60065OpenAlexW2037278900MaRDI QIDQ3468412FDOQ3468412

Authors: A. N. Borodin 

Publication date: 1989

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1134048

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zbMATH Keywords

stopping timesBrownian local timeLaplace transformationmethod of integral equations

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

Cited In (25)

• Title not available (Why is that?)
• Penalizations of the Brownian motion with a functional of its local times
• On first range times of linear diffusions
• Title not available (Why is that?)
• Title not available (Why is that?)
• On distribution of functionals of a Brownian motion stopped at the inverse range time
• Integral functionals under the excursion measure
• Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion
• Title not available (Why is that?)
• Distribution of functionals of Brownian motion. II.
• Distributions of Functionals of Brownian Local Time, II
• Brownian local times
• Tables of distributions of functionals of the Brownian motion
• Title not available (Why is that?)
• On certain functionals of the maximum of Brownian motion and their applications
• Brownian Local Time of the Second Order
• Title not available (Why is that?)
• Distributions of functionals of the local time of Brownian motion with discontinuous drift
• On the distributions of functionals of Brownian motion stopped at a moment inverse to a local time
• Distribution of functionals of certain non-Markovian processes
• Title not available (Why is that?)
• On the laws of homogeneous functionals of the Brownian bridge
• On distribution of functionals of Brownian motion with linear drift
• Some eigenvalue identities for Brownian motion
• On a Distribution of Some Functionals of a Simple Random Walk

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