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

DOI10.1007/S10959-006-0039-9MaRDI QIDQ867100zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3879864 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• A winding problem for a resonator driven by a white noise
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
• Some eigenvalue identities for Brownian motion
• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
• Wiener-Hopf factorisation of Brownian motion

Cited in

(15)

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• 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
• scientific article; zbMATH DE number 6129127 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 6746096 (Why is no real title available?)
• 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

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