Medical and Health Sciences
research_article
https://scigraph.springernature.com/explorer/license/
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.
http://link.springer.com/10.1007%2Fs10958-006-0033-x
2006-03-01
Some Exponential Integral Functionals of BM(μ) and BES(3)
2006-03
false
2019-04-11T12:39
1231-1248
articles
en
St.Petersburg Department, Steklov Mathematical Institute, St.Petersburg, Russia
Steklov Mathematical Institute
1072-3374
1573-8795
Journal of Mathematical Sciences
Springer Nature - SN SciGraph project
10.1007/s10958-006-0033-x
doi
Neurosciences
Salminen
P.
Åbo Akademi University
Mathematical Department, Abo Akademi, Vanriksgatan 3 B, Finland
133
e991448f107c709c0d24c12367b2a296d76690ef41169a27f1ebe3c46fe27a86
readcube_id
pub.1049029303
dimensions_id
Borodin
A. N.
3