Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien

DOI10.1016/S0764-4442(99)80390-5zbMATH Open0883.60076MaRDI QIDQ4348307FDOQ4348307

Authors: A. Lachal 

Publication date: 14 August 1997

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

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zbMATH Keywords

momentsstandard Brownian motionprobability lawstwo-sided barrier problem

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited In (10)

• Chung’s law for integrated Brownian motion
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• A new approach to goodness-of-fit testing based on the integrated empirical process^*
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• Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion
• Exit probability for an integrated geometric Brownian motion
• Understanding average Brownian exit time
• A short note on the mean exit time of the Brownian motion
• Approximate exit probabilities for a Brownian bridge on a short time interval, and applications

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