Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time (Q1291966)
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scientific article; zbMATH DE number 1300648
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time |
scientific article; zbMATH DE number 1300648 |
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Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time (English)
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13 July 1999
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The problem of computing the distributions of functionals of the Brownian process stopped at various random moments is considered. The author defines a family of stopping times for which a method of computing the distributions of functionals of stopped Brownian motion is proposed. The moments are obtained by means of the minimum and maximum operations from the moments inverse to some additive functionals. Unique continuous solutions of some considered problems are given and discussed. Also, an example is given at the end of the paper.
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