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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2024 Volume 535, Pages 40–57 (Mi znsl7485)

On the distribution of inhomogeneous functionals of Brownian local time at the inverse local time moment

A. N. Borodin

St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences

Abstract: We consider the question: how to calculate distributions of the simplest inhomogeneous integral functional of Brownian local time with respect to space parameter at the inverse local time moment. For the Laplace transform of distribution of such a functional we obtain formulas expressed in terms of solutions of the second order differential equations, satisfying some boundary conditions. As an application of these formulas the joint distribution of suprema of Brownian local time at adjacent intervals considered at the inverse local time moment are derived.

Key words and phrases: Brownian local time, distribution of inhomogeneous functionals, the inverse local time moment, suprema of local times.

UDC: 519.2

Received: 17.09.2024



© Steklov Math. Inst. of RAS, 2025