A. N. Borodin, “Distributions of integral functionals of bridges of Gaussian diffusions”, Zap. Nauchn. Sem. POMI, 2012, Volume 408,Pages <nobr>74

Distributions of integral functionals of bridges of Gaussian diffusions

A. N. Borodin^ab

^a St. Petersburg Department of the Steklov Mathematical Institute, St. Petersburg, Russia
^b St. Petersburg State University, St. Petersburg, Russia

Abstract: The paper deals with an original approach to derivation of parabolic equation for the Laplace transform of the distributions of integral functional of bridge of Gaussian diffusion.

Key words and phrases: bridge of Gaussian diffusion, distribution, integral functional.

UDC: 519.2

Received: 05.10.2012