Applications de la théorie spectral des cordes vibrantes aux fonctionnelles additives principales d'un brownien réfléchi. (Applications of the spectral theory of vibrating strings to principal additive functionals of a reflected Brownian motion)
The author characterizes the Fourier transforms and calculates Lévy measures of the processes with homogeneous independent increments defined by the principal additive functionals of a reflected Brownian motion taken at the inverse of its local time. For this the problem is nontrivially reduced to the case of increasing additive functionals and Krein's spectral theory of vibrating strings is used.
- Representations of fractional Brownian motion using vibrating strings
- scientific article; zbMATH DE number 4209249
- Remarks on Krein-Kotani's correspondence between strings and Herglotz functions
- The behaviour of spectral functions of the string with boundary condition at a singular entrance endpoint
- Krein's strings with singular left boundary
- A parallel between Brownian bridges and gamma bridges
- A conversation with Don Dawson
- Path decompositions of perturbed reflecting Brownian motions
- Representations of fractional Brownian motion using vibrating strings
- On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
- An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
- Some explicit Krein representations of certain subordinators, including the gamma process
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