Boundary-crossing identities for diffusions having the time-inversion property

DOI10.1007/s10959-009-0245-3zbMath1197.60080arXiv0904.2680OpenAlexW2095315953MaRDI QIDQ966509

Larbi Alili, Pierre Patie

Publication date: 23 April 2010

Published in: Journal of Theoretical Probability, Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.2680

zbMATH Keywords

Brownian motionBessel processesboundary-crossing problemself-similar diffusionstime-inversion property

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Self-similar stochastic processes (60G18)

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