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Zapiski Nauchnykh Seminarov POMI, 2016, Volume 454, Pages 43–51
(Mi znsl6383)
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On distributions of integral functionals of diffusions stopped at inverse range time
A. N. Borodinab a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
b St. Petersburg State University, St. Petersburg, Russia
Abstract:
In the paper we develop the methods for computations of distributions of integral functionals of diffusions stopped at inverse range time. We consider also the moment, which is the minimum of inverse range time and the exponentially distributed stopping time independent of the diffusion. An interesting example of the applications of these methods is considered.
Key words and phrases:
diffusions, inverse range time, distributions of functionals.
Received: 15.10.2016
Citation:
A. N. Borodin, “On distributions of integral functionals of diffusions stopped at inverse range time”, Probability and statistics. Part 24, Zap. Nauchn. Sem. POMI, 454, POMI, St. Petersburg, 2016, 43–51; J. Math. Sci. (N. Y.), 229:6 (2018), 626–631
Linking options:
https://www.mathnet.ru/eng/znsl6383 https://www.mathnet.ru/eng/znsl/v454/p43
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Abstract page: | 130 | Full-text PDF : | 35 | References: | 37 |
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