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Zapiski Nauchnykh Seminarov POMI, 2023, Volume 526, Pages 52–77
(Mi znsl7379)
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On the distribution of inhomogeneous functionals of Brownian local time
A. N. Borodin St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract:
We consider the question: how to calculate distributions of the simplest inhomogeneous integral functional of Brownian local time with respect to space parameter. For the Laplace transform of distribution of such a functional we obtaine formulas expressed in terms of solutions of the second order differential equations, satisfying some boundary conditions. As an application of these formulas the joint distribution of suprema of Brownian local time at adjacent intervals are derived.
Key words and phrases:
Brownian local time, distribution of inhomogeneous functionals, suprema of local times.
Received: 17.09.2023
Citation:
A. N. Borodin, “On the distribution of inhomogeneous functionals of Brownian local time”, Probability and statistics. Part 35, Zap. Nauchn. Sem. POMI, 526, POMI, St. Petersburg, 2023, 52–77
Linking options:
https://www.mathnet.ru/eng/znsl7379 https://www.mathnet.ru/eng/znsl/v526/p52
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Abstract page: | 66 | Full-text PDF : | 25 | References: | 27 |
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