Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion

DOI10.1007/S10959-006-0039-9zbMATH Open1115.60075OpenAlexW2091693609MaRDI QIDQ867100FDOQ867100

Authors: A. Lachal 

Publication date: 14 February 2007

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

Full work available at URL: https://doi.org/10.1007/s10959-006-0039-9

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zbMATH Keywords

Laplace transformhypergeometric functionfirst exit timefunctional of Brownian motionKummer function

Mathematics Subject Classification ID

Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• A winding problem for a resonator driven by a white noise
• Wiener-Hopf factorisation of Brownian motion
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
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• Some eigenvalue identities for Brownian motion
• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien

Cited In (15)

• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
• The first exit time of one-dimensional Brownian motion
• An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
• Persistence and exit times for some additive functionals of skew Bessel processes
• Title not available (Why is that?)
• On the conditional expectation of the first exit time of Brownian motion
• The first exit time for a Bessel process from the minimum and maximum random domains
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
• Title not available (Why is that?)
• An integral equation for the distribution of the first exit time of a reflected Brownian motion
• On the distribution of first exit time for Brownian motion with double linear time-dependent barriers
• Exit probability for an integrated geometric Brownian motion
• Chung's law for homogeneous Brownian functionals
• Understanding average Brownian exit time
• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval

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