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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2007 Volume 341, Pages 34–47 (Mi znsl132)

This article is cited in 3 papers

Distributions of functionals of bridges of diffusions with jumps

A. N. Borodin

St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences

Abstract: The paper deals with a methods of computations of distributions of functionals of bridges of a process which is a generalization of the diffusion with jumps. The approach to the computation of the distributions of integral functionals of bridges is the same as for diffusion itself. It is based on the computation of the Laplace transform of the distributions of integral functionals.

UDC: 519.21

Received: 09.04.2007


 English version:
Journal of Mathematical Sciences (New York), 2007, 147:4, 6864–6872

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