Email this article On Distributions of Integral Functionals of Diffusions Stopped at Inverse Range Time
- Authors: Borodin A.N.1,2
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Affiliations:
- St.Petersburg Department of the Steklov Mathematical Institute
- St.Petersburg State University
- Issue: Vol 229, No 6 (2018)
- Pages: 626-631
- Section: Article
- URL: https://journal-vniispk.ru/1072-3374/article/view/240499
- DOI: https://doi.org/10.1007/s10958-018-3702-7
- ID: 240499
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Abstract
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.
About the authors
A. N. Borodin
St.Petersburg Department of the Steklov Mathematical Institute; St.Petersburg State University
Author for correspondence.
Email: borodin@pdmi.ras.ru
Russian Federation, St.Petersburg
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