On the expectation of normalized Brownian functionals up to first hitting times

DOI10.1214/EJP.v19-3049zbMath1291.60164arXiv1310.1181OpenAlexW1970908591MaRDI QIDQ2448526

Marc Yor, Mathieu Rosenbaum, Romuald Elie

Publication date: 2 May 2014

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

Full work available at URL: https://arxiv.org/abs/1310.1181

zbMATH Keywords

Bessel processBrownian motionscalinghitting timesFeynman-Kac formularandom samplingRay-Knight theoremBrownian meander

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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