The successive hitting times for the integrated Brownian motion

DOI10.1016/S0246-0203(97)80114-8zbMath0877.60054MaRDI QIDQ677671

Aimé Lachal

Publication date: 26 November 1997

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1997__33_1_1_0

zbMATH Keywords

Mellin transformBrownian motionhitting timesKontorovich-Lebedev transform

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (13)

Occupation time of a randomly accelerated particle on the positive half axis: results for the first five moments ⋮ A characterization of the first hitting time of double integral processes to curved boundaries ⋮ Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary ⋮ On confined McKean Langevin processes satisfying the mean no-permeability boundary condition ⋮ A Langevin process reflected at a partially elastic boundary. I ⋮ Persistence and exit times for some additive functionals of skew Bessel processes ⋮ Reflecting a Langevin process at an absorbing boundary ⋮ Particle approximation for Lagrangian stochastic models with specular boundary condition ⋮ A stable Langevin model with diffusive-reflective boundary conditions ⋮ Stochastic Lagrangian method for downscaling problems in computational fluid dynamics ⋮ Some limiting laws associated with the integrated Brownian motion ⋮ Lagrangian stochastic models with specular boundary condition ⋮ Langevin Process Reflected on a Partially Elastic Boundary II

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