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

Brownian motion processfirst hitting timeLaplace-Fourier transform

Mathematics Subject Classification ID

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

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(17)

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• Integration by parts for pinned Brownian motion
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• Some fluctuation identities for Lévy processes with jumps of the same sign
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• Persistence of integrated stable processes
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• The Integral of the Supremum Process of Brownian Motion
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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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