Distributions of Functionals of Brownian Motion

Borodin, Andrei N.

doi:10.1007/978-3-319-62310-8_3

Andrei N. Borodin^6,7

Part of the book series: Probability and Its Applications ((PA))

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Abstract

We consider general methods for computing the joint distributions of integral functionals of Brownian motion and functionals of its infimum and supremum. We begin our study by considering an integral functional of a Brownian motion W(s), s ≥ 0, since it serves as a starting point for the development of computation methods for others functionals.

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St. Petersburg Department of Steklov Mathematical Institute, St. Petersburg, Russia
Andrei N. Borodin
Department of Mathematics and Mechanics, St. Petersburg State University, St. Petersburg, Russia
Andrei N. Borodin

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Andrei N. Borodin
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Correspondence to Andrei N. Borodin .

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Borodin, A.N. (2017). Distributions of Functionals of Brownian Motion. In: Stochastic Processes. Probability and Its Applications. Birkhäuser, Cham. https://doi.org/10.1007/978-3-319-62310-8_3

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DOI: https://doi.org/10.1007/978-3-319-62310-8_3
Published: 01 November 2017
Publisher Name: Birkhäuser, Cham
Print ISBN: 978-3-319-62309-2
Online ISBN: 978-3-319-62310-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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