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

DOI10.1007/s10959-006-0039-9zbMath1115.60075MaRDI QIDQ867100

Aimé 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 transform; hypergeometric function; first exit time; functional of Brownian motion; Kummer function

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory