L'intégrale du mouvement brownien

DOI10.2307/3214618MaRDI QIDQ5285993zbMATH OpenOpenAlexFDO

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

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)

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• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
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