Distribution of functionals of local time of Brownian motion with discontinuous drift
    
    
  
  
  
      
      
      
        
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 29, Tome 495 (2020), pp. 102-120
    
  
  
  
  
  
    
      
      
        
      
      
      
    Voir la notice de l'article provenant de la source Math-Net.Ru
            
              			Diffusion with piecewise constant drift and the diffusion coefficient 1 is considered. We call this process the Brownian motion with discontinuous drift. With equal constants this diffusion includes Brownian motion with linear drift, and with opposite sign constants it turns into Brownian motion with alternating drift. We are interested in the result that allows us to calculate the distributions of the integral functionals with respect to the spatial variable of the local time of Brownian motion with discontinuous drift. The explicit form of the distribution of the supremum with respect to spatial variable of the local time of Brownian motion with discontinuous drift is calculated.
			
            
            
            
          
        
      @article{ZNSL_2020_495_a5,
     author = {A. N. Borodin},
     title = {Distribution of functionals of local time of {Brownian} motion with discontinuous drift},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {102--120},
     publisher = {mathdoc},
     volume = {495},
     year = {2020},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2020_495_a5/}
}
                      
                      
                    A. N. Borodin. Distribution of functionals of local time of Brownian motion with discontinuous drift. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 29, Tome 495 (2020), pp. 102-120. http://geodesic.mathdoc.fr/item/ZNSL_2020_495_a5/