Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion
Let \((B_t)_{t\geq 0}\) be standard Brownian motion starting at \(y\) and set \(X_t=x+ \int^t_0 V(B_s)\,ds\) for \(x\in (a,b)\), with \(V(y)=y^\gamma\) if \(y\geq 0\), \(V(y)=-K(-y)^\gamma\) if \(y\leq 0\), where \(\gamma\) and \(K\) are some given positive constants. Set \(\tau_{ab }=\inf \{t>0:X_t \notin (a,b)\}\). The author provides some formulas for the probability distribution of the random variable \(B_{\tau_{ab}}\) as well as for the probability \(\mathbb P \{X_{\tau_{ab}}=a\) (or \(b\))\}. The formulas corresponding to the particular cases \(x=a\) or \(b\) are explicitely expressed by means of hypergeometric functions.
- First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
- Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
- The first exit time of a Brownian motion from an unbounded convex domain
- On the conditional expectation of the first exit time of Brownian motion
- An integral equation for the distribution of the first exit time of a reflected Brownian motion
- scientific article; zbMATH DE number 6129127
- scientific article; zbMATH DE number 6746096
- The first exit time of a Brownian motion from the Minimum and maximum parabolic domains
- On first exit times and their means for Brownian bridges
- 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
- 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?)
- 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
- On the conditional expectation of the first exit time of Brownian motion
- Exit probability for an integrated geometric Brownian motion
- First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
- Persistence and exit times for some additive functionals of skew Bessel processes
- From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval
- The first exit time of one-dimensional Brownian motion
- Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien
- On the distribution of first exit time for Brownian motion with double linear time-dependent barriers
- scientific article; zbMATH DE number 6129127 (Why is no real title available?)
- scientific article; zbMATH DE number 6746096 (Why is no real title available?)
- An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
- An integral equation for the distribution of the first exit time of a reflected Brownian motion
- Understanding average Brownian exit time
- The first exit time for a Bessel process from the minimum and maximum random domains
- Chung's law for homogeneous Brownian functionals
This page was built for publication: Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q867100)
