How the sojourn time distributions of Brownian motion are affected by different forms of conditioning.

DOI10.1016/j.spl.2003.07.015zbMath1116.60347OpenAlexW2055503198MaRDI QIDQ1423051

Yakov Yu. Nikitin, Enzo Orsingher, Luisa Beghin

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.07.015

zbMATH Keywords

Brownian motionFeynman-Kac functionalSojourn timeArc-sine law

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items (2)

On the sojourn time of a generalized Brownian meander ⋮ On sojourn of Brownian motion inside moving boundaries

Cites Work

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• The intermediate arc-sine law
• Corridor options and arc-sine law.
• On a generalization of the arc-sine law
• Step Options
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES

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