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Zapiski Nauchnykh Seminarov POMI, 2016, Volume 454, Pages 43–51 (Mi znsl6383)  
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
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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.
Funding agency Grant number
Russian Foundation for Basic Research 16-01-00367
Russian Academy of Sciences - Federal Agency for Scientific Organizations
Received: 15.10.2016
English version:
Journal of Mathematical Sciences (New York), 2018, Volume 229, Issue 6, Pages 626–631
DOI: https://doi.org/10.1007/s10958-018-3702-7
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Bor16}
\by A.~N.~Borodin
\paper On distributions of integral functionals of diffusions stopped at inverse range time
\inbook Probability and statistics. Part~24
\serial Zap. Nauchn. Sem. POMI
\yr 2016
\vol 454
\pages 43--51
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6383}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3602400}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2018
\vol 229
\issue 6
\pages 626--631
\crossref{https://doi.org/10.1007/s10958-018-3702-7}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85042236913}
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