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Zapiski Nauchnykh Seminarov POMI, 2003, Volume 298, Pages 36–53 (Mi znsl1152)  
On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times

I. V. Vagurina

Saint-Petersburg Commercial and Economic Institute
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Abstract: The distributions of additive functionals of Brownian motion stopped at a random moments are investigated. The moments are constructed by maximum and minimum operations from the inverse range time and the moment inverse to some additive functionals, the first exit time. Some interesting examples of applications are examining.
Received: 14.11.2003
English version:
Journal of Mathematical Sciences (New York), 2005, Volume 128, Issue 1, Pages 2511–2521
DOI: https://doi.org/10.1007/s10958-005-0199-7
Bibliographic databases:
UDC: 519.2
Language: Russian
Citation: I. V. Vagurina, “On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times”, Probability and statistics. Part 6, Zap. Nauchn. Sem. POMI, 298, POMI, St. Petersburg, 2003, 36–53; J. Math. Sci. (N. Y.), 128:1 (2005), 2511–2521
Citation in format AMSBIB
\Bibitem{Vag03}
\by I.~V.~Vagurina
\paper On distributions of additive functionals of Brownian motion stopped at the moment of maximum or minimum of random times
\inbook Probability and statistics. Part~6
\serial Zap. Nauchn. Sem. POMI
\yr 2003
\vol 298
\pages 36--53
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl1152}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2038863}
\zmath{https://zbmath.org/?q=an:1083.60063}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2005
\vol 128
\issue 1
\pages 2511--2521
\crossref{https://doi.org/10.1007/s10958-005-0199-7}
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