The successive hitting times for the integrated Brownian Motion.

被引：17
|
作者：
Lachal, A
机构：
来源：
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1997年 / 33卷 / 01期
关键词：
successive hitting-times; Laplace-Kontorovich-Lebedev transform; Mellin transform; Bessel; Wittaker; Legendre functions; Bernoulli numbers;
D O I：
10.1016/S0246-0203(97)80114-8
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let (B-t)(t greater than or equal to 0) be the linear Brownian Motion and set X(t) = integral(0)(t) B-s ds. In this paper we give an explicit form for the probability laws of several functionals of the two-dimensional process (X(t), (B)t)(t greater than or equal to 0) which are intimately related to its first hitting time.
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页码：1 / 36
页数：36
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