On the double Laplace transform of the truncated variation of a Brownian motion with drift

DOI10.1112/S1461157016000127zbMath1380.60075arXiv1106.3199OpenAlexW3102708311MaRDI QIDQ2970990

Rafał Marcin Łochowski

Publication date: 4 April 2017

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.3199

zbMATH Keywords

Laplace transformBrownian motion with drift

Mathematics Subject Classification ID

Gaussian processes (60G15) Characteristic functions; other transforms (60E10) Brownian motion (60J65)

Cites Work

• Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications
• A stopped Brownian motion formula
• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• On a generalisation of the Hahn–Jordan decomposition for real càdlàg functions
• The play operator, the truncated variation and the generalisation of the Jordan decomposition

This page was built for publication: On the double Laplace transform of the truncated variation of a Brownian motion with drift