Distributions of Functionals of the Brownian Local Time I

DOI10.1137/1134048MaRDI QIDQ3468412zbMATH OpenOpenAlexFDO

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

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)

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• Distribution of functionals of certain non-Markovian processes
• On the laws of homogeneous functionals of the Brownian bridge
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• On distribution of functionals of Brownian motion with linear drift
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