Distribution of sojourn time for a Brownian motion with jumps |
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| Authors: | A N Borodin |
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| Institution: | (1) St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg, Russia |
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| Abstract: | We consider a Brownian motion with jumps that is a sum of a Brownian motion and compound Poisson process. It is assumed that
the distribution of jumps is symmetrically exponential. A formula for the Laplace transform of the distribution of time spent
by a Brownian motion with jumps over some level is obtained. Bibliography: 8 titles.
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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 351, 2007, pp. 101–116. |
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