Enviar artigo por via de e-mail On Distributions of Integral Functionals of Diffusions Stopped at Inverse Range Time
- Autores: Borodin A.N.1,2
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Afiliações:
- St.Petersburg Department of the Steklov Mathematical Institute
- St.Petersburg State University
- Edição: Volume 229, Nº 6 (2018)
- Páginas: 626-631
- Seção: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/240499
- DOI: https://doi.org/10.1007/s10958-018-3702-7
- ID: 240499
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Resumo
Methods for computing the distributions of integral functionals of diffusions stopped at inverse range time are developed. The moment, which is the minimum of the inverse range time and exponentially distributed stopping time independent of the diffusion, is also considered. An interesting example of the applications of these methods is presented.
Sobre autores
A. Borodin
St.Petersburg Department of the Steklov Mathematical Institute; St.Petersburg State University
Autor responsável pela correspondência
Email: borodin@pdmi.ras.ru
Rússia, St.Petersburg
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