scientific article; zbMATH DE number 16038
[For the entire collection see Zbl 0713.00012.] The authors study the behaviour of integral functionals of a Wiener process with drift. These are of the form \(T_ t=\int^ t_ 0 f(W_ s+s)ds\), where \(W\) denotes a standard Wiener process and \(f\) is a nonnegative measurable function. Necessary and sufficient conditions for a.s. convergence of \(T_ \infty=\lim_{t\to\infty}T_ t\), as well as for a.s. divergence of \(T_ \infty\), are given. In the second part, the problem is solved when the exponential local martingale associated with an arbitrary solution of the equation \(dX_ t=b(X_ t)dW_ t\), \(X_ 0=0\), \(b\) is a measurable function, is a martingale. Finally, the existence of a solution of a very special equation is given as an application.
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