L'intégrale du mouvement brownien

DOI10.2307/3214618zbMATH Open0768.60069OpenAlexW2325600461MaRDI QIDQ5285993FDOQ5285993

Authors: A. Lachal 

Publication date: 29 June 1993

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214618

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zbMATH Keywords

first hitting timeLaplace-Fourier transformBrownian motion process

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (16)

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• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• The Integral of the Supremum Process of Brownian Motion
• Some fluctuation identities for Lévy processes with jumps of the same sign
• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
• On the duration of an epidemic
• The integral of geometric Brownian motion
• Integration of Brownian vector fields.
• Integral representation of generalized grey Brownian motion
• Persistence of integrated stable processes
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• Integration by parts for pinned Brownian motion
• An integral equation for Root's barrier and the generation of Brownian increments
• Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes

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