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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2011 Volume 396, Pages 73–87 (Mi znsl4651)

Joint distributions of the infimum, the supremum and the end of Brownian motion with jumps

A. N. Borodinab

a St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences, St. Petersburg, Russia
b Saint-Petersburg State University, Saint-Petersburg, Russia

Abstract: In the paper, we compute the joint distributions of the infimum, the supremum and the end of the Brownian motion with jumps. The final time of the Brownian motion with jumps is taken at the exponentially distributed random time independent of the process. This corresponds to the Laplace transform with respect to the deterministic time of the joint distributions under consideration.

Key words and phrases: distributions, infimum, supremum, Brownian motion, jumps.

UDC: 519.2

Received: 15.10.2011


 English version:
Journal of Mathematical Sciences (New York), 2013, 188:6, 677–685

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© Steklov Math. Inst. of RAS, 2024