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Teoriya Veroyatnostei i ee Primeneniya, 1999, Volume 44, Issue 3, Pages 481–505
DOI: https://doi.org/10.4213/tvp800 (Mi tvp800) 		 
Distribution of functionals of certain non-Markovian processes

A. N. Borodin

St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences
Full-text PDF (972 kB)
DOI: https://doi.org/10.4213/tvp800
Abstract: We examine the problem of computation of the functionals of a non-Markovian process of a special kind. We establish that, for such functionals, the moment generating function is a solution of a family of differential problems with unusual conditions on the jump of the derivative. That solution is proved to be unique, and its general form is determined and examples of computation of the distribution of specific functionals are given.
Keywords: distribution of a functional, Brownian motion, Brownian local time.
Received: 27.12.1996
English version:
Theory of Probability and its Applications, 2000, Volume 44, Issue 3, Pages 433–452
DOI: https://doi.org/10.1137/S0040585X97977707
Bibliographic databases:
Language: Russian
Citation: A. N. Borodin, “Distribution of functionals of certain non-Markovian processes”, Teor. Veroyatnost. i Primenen., 44:3 (1999), 481–505; Theory Probab. Appl., 44:3 (2000), 433–452
Citation in format AMSBIB
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\jour Theory Probab. Appl.
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