Some Exponential Integral Functionals of BM(μ) and BES(3) View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2006-03

AUTHORS

A. N. Borodin, P. Salminen

ABSTRACT

In the present paper, we derive the Laplace transforms of the integral functionals and where p and q are real numbers, {Bt(μ) : t ≥ 0} is a Brownian motion with drift μ > 0 (denoted BM(μ)), and {Rt(3) : t ≥ 0} is a 3-dimensional Bessel process (denoted BES(3)). The transforms are given in terms of Gauss' hypergeometric functions, and the results are closely related to some results for functionals of Jacobi diffusions. This work generalizes and completes some results of Donati-Martin and Yor and Salminen and Yor. Bibliography: 18 titles. More... »

PAGES

1231-1248

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10958-006-0033-x

DOI

http://dx.doi.org/10.1007/s10958-006-0033-x

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1049029303


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