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.
Язык оригиналаанглийский
Страницы (с-по)626-631
ЖурналJournal of Mathematical Sciences
Том229
Номер выпуска6
Дата раннего онлайн-доступа21 фев 2018
СостояниеОпубликовано - 2018

ID: 37612511