Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion

DOI10.1007/s10959-006-0039-9zbMath1115.60075OpenAlexW2091693609MaRDI QIDQ867100

Aimé Lachal

Publication date: 14 February 2007

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

Full work available at URL: https://doi.org/10.1007/s10959-006-0039-9

zbMATH Keywords

Laplace transformhypergeometric functionfirst exit timefunctional of Brownian motionKummer function

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Persistence and exit times for some additive functionals of skew Bessel processes ⋮ Chung's law for homogeneous Brownian functionals

Cites Work

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• Wiener-Hopf factorisation of Brownian motion
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
• A winding problem for a resonator driven by a white noise
• Some eigenvalue identities for Brownian motion
• Temps de sortie d’un intervalle borné pour l’intégrale du mouvement brownien

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