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Zapiski Nauchnykh Seminarov POMI, 2021, Volume 505, Pages 62–74
(Mi znsl7123)
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Distribution of functionals of Brownian motion with linear drift killed elastically at zero
A. N. Borodin St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract:
Brownian motion with linear drift on the positive half-line killed elastically at zero is cosidered. We are interested in a result that allows us to calculate the distributions of the integral functionals with respect to the spatial variable of the local time of such process. The explicit form of the distribution of the supremum with respect to spatial variable of the local time is calculated for Brownian motion with linear drift reflected at zero.
Key words and phrases:
reflecting Brownian motion with linear drift, local time, distribution of supremum of local time.
Received: 17.09.2021
Citation:
A. N. Borodin, “Distribution of functionals of Brownian motion with linear drift killed elastically at zero”, Probability and statistics. Part 31, Zap. Nauchn. Sem. POMI, 505, POMI, St. Petersburg, 2021, 62–74
Linking options:
https://www.mathnet.ru/eng/znsl7123 https://www.mathnet.ru/eng/znsl/v505/p62
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Statistics & downloads: |
Abstract page: | 103 | Full-text PDF : | 39 | References: | 23 |
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