First exit time from a bounded interval for a certain class of additive functionals of Brownian motion

DOI10.1023/A:1007810528683zbMath0978.60093MaRDI QIDQ1592272

Aimé Lachal

Publication date: 15 January 2002

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

hypergeometric functionsfirst exit timeAbel's integral equationexcursion process

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (4)

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion ⋮ Persistence and exit times for some additive functionals of skew Bessel processes ⋮ Chung's law for homogeneous Brownian functionals

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