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.
Original languageEnglish
Pages (from-to)626-631
JournalJournal of Mathematical Sciences
Volume229
Issue number6
Early online date21 Feb 2018
StatePublished - 2018

ID: 37612511