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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2002 Volume 294, Pages 55–76 (Mi znsl1686)

This article is cited in 1 paper

On distributions of additive functionals of Brownian motion stopped at the different random moments

I. V. Vagurina

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

Abstract: The distributions of additive functionals of Brownian motion stopped at the random moments are investigated. The moments are constructed by maximum and minimum operations from well-known random times, such as the moment inverse to some additive functionals and the first exit time.

UDC: 519.21

Received: 28.09.2002


 English version:
Journal of Mathematical Sciences (New York), 2005, 127:1, 1703–1716

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