scientific article; zbMATH DE number 2050987

MaRDI QIDQ4453260zbMATH OpenFDO

Authors A. Lachal

Publication date 7 March 2004

zbMATH Keywords

Markov processBrownian motionhitting timesintegrated Brownian motiontheory of excursions

Mathematics Subject Classification ID

Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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(10)

• On the first-passage time of integrated Brownian motion
• Reflecting a Langevin process at an absorbing boundary
• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
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• Langevin process reflected on a partially elastic boundary. II
• Excursions of the integral of the Brownian motion
• A Langevin process reflected at a partially elastic boundary. I
• A second order SDE for the Langevin process reflected at a completely inelastic boundary
• Invariance principles for integrated random walks conditioned to stay positive
• Brownian excursion with a single mark

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