On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 6, Tome 298 (2003), pp. 36-53
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The distributions of additive functionals of Brownian motion stopped at a random moments are investigated. The moments are constructed by maximum and minimum operations from the inverse range time and the moment inverse to some additive functionals, the first exit time. Some interesting examples of applications are examining.
@article{ZNSL_2003_298_a2,
author = {I. V. Vagurina},
title = {On distributions of additive functionals of {Brownian} motion stopped at the moment of maximum or minimum of random times},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {36--53},
publisher = {mathdoc},
volume = {298},
year = {2003},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_2003_298_a2/}
}
TY - JOUR AU - I. V. Vagurina TI - On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times JO - Zapiski Nauchnykh Seminarov POMI PY - 2003 SP - 36 EP - 53 VL - 298 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZNSL_2003_298_a2/ LA - ru ID - ZNSL_2003_298_a2 ER -
%0 Journal Article %A I. V. Vagurina %T On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times %J Zapiski Nauchnykh Seminarov POMI %D 2003 %P 36-53 %V 298 %I mathdoc %U http://geodesic.mathdoc.fr/item/ZNSL_2003_298_a2/ %G ru %F ZNSL_2003_298_a2
I. V. Vagurina. On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 6, Tome 298 (2003), pp. 36-53. http://geodesic.mathdoc.fr/item/ZNSL_2003_298_a2/