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JOURNALS // Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia // Archive

Dokl. RAN. Math. Inf. Proc. Upr., 2021 Volume 501, Pages 38–41 (Mi danma219)

This article is cited in 3 papers

MATHEMATICS

On a family of complex-valued stochastic processes

I. A. Ibragimovab, N. V. Smorodinaba, M. M. Faddeevb

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
b Saint Petersburg State University, St. Petersburg, Russia

Abstract: We introduce a family $r_\lambda$, $\lambda\in\mathbb C$ of complex-valued stochastic processes making it possible to construct a probabilistic representation for the resolvent of the operator $-\frac12\frac{d^2}{dx^2}$. For $\lambda=0$ the process $r_\lambda$ is real-valued and coincides with the Brownian local time process.

Keywords: random processes, local time.

UDC: 519.2

Received: 14.08.2021
Revised: 14.08.2021
Accepted: 08.09.2021

DOI: 10.31857/S2686954321060072


 English version:
Doklady Mathematics, 2021, 104:3, 347–350

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© Steklov Math. Inst. of RAS, 2024