Distribution of functionals of Brownian motion stopped at a moment inverse to the linear combination of local times (Q2567726)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distribution of functionals of Brownian motion stopped at a moment inverse to the linear combination of local times |
scientific article |
Statements
Distribution of functionals of Brownian motion stopped at a moment inverse to the linear combination of local times (English)
0 references
13 October 2005
0 references
The object of investigation is a distribution of the following functional from the Brownian motion \(W\), \[ A(t)=\int _0^tf(W(s))ds+\sum _{j=1}^k\beta _jl(t,r_j). \] The author considers random time changing related to the functional \(\eta (t)=\sum _{j=1}^k\alpha _jl(t,r_j)\). Here \(l(t,r)\) is a local time of \(W\) in the point \(r\) and the coefficients \(\alpha _1,\dots,\alpha _k\) can have different signs. The functional \(A\) is considered at the time \(\rho (t)=\min\{s:\eta (s)>t\}.\) For the Laplace transform of the considered distribution the usual Feynman-Kac formula is obtained but with the new relation on the jumps of the first derivative in the points \(r_1,\dots,r_k.\)
0 references
Feynman-Kac formula
0 references