On distributions of integral functionals of diffusions stopped at inverse range time

DOI10.1007/s10958-018-3702-7zbMath1386.60269OpenAlexW2789373314MaRDI QIDQ1746399

A. N. Borodin

Publication date: 25 April 2018

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-018-3702-7

zbMATH Keywords

diffusionintegral functionalsinverse range time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• On the range of Brownian motion and its inverse process
• Decomposing the Brownian path via the range process
• On distribution of functionals of a Brownian motion stopped at the inverse range time
• Stochastic Processes

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