Distributions of Additive Functionals of Brownian Motion Stopped at Moments of Maxima and Minima of Random Times |
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| Authors: | I V Vagurina |
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| Institution: | (1) St. Petersburg State Commercial and Economic Institute, St. Petersburg, Russia |
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| Abstract: | We study distributions of additive functionals of a Brownian motion stopped at moments constructed by maxima and minima operations from the inverse range time, moments inverse to some additive functionals, and the first exit time. Some interesting examples of application are considered. Bibliography: 6 titles.__________Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 298, 2003, pp. 36–53. |
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