Computing the expectation of the Azéma-Yor stopping times

DOI10.1016/S0246-0203(98)80033-2zbMath0903.60067MaRDI QIDQ1386731

Jesper Lund Pedersen, Goran Peskir

Publication date: 5 January 1999

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1998__34_2_265_0

zbMATH Keywords

diffusionWiener processBessel processItô-Tanaka's formula

Mathematics Subject Classification ID

Random fields (60G60) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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