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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2003 Volume 298, Pages 36–53 (Mi znsl1152)

On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times

I. V. Vagurina

Saint-Petersburg Commercial and Economic Institute

Abstract: The distributions of additive functionals of Brownian motion stopped at a random moments are investigated. The moments are constructed by maximum and minimum operations from the inverse range time and the moment inverse to some additive functionals, the first exit time. Some interesting examples of applications are examining.

UDC: 519.2

Received: 14.11.2003


 English version:
Journal of Mathematical Sciences (New York), 2005, 128:1, 2511–2521

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