THE SUCCESSIVE HITTING TIMES FOR THE INTE GRATED BROWNIAN-MOTION

Authors
LACHAL A
Citation
A. Lachal, THE SUCCESSIVE HITTING TIMES FOR THE INTE GRATED BROWNIAN-MOTION, Annales de l'I.H.P. Probabilites et statistiques, 33(1), 1997, pp. 1-36
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annales de l'I.H.P. Probabilites et statistiques → ACNP
ISSN journal
02460203
Volume
33
Issue
1
Year of publication
1997
Pages
1 - 36
Database
ISI
SICI code
0246-0203(1997)33:1<1:TSHTFT>2.0.ZU;2-B
Abstract
Let (B-t)(t greater than or equal to 0) be the linear Brownian Motion and set X(t) = integral(0)(t) B-s ds. In this paper we give an explici t form for the probability laws of several functionals of the two-dime nsional process (X(t), (B)t)(t greater than or equal to 0) which are i ntimately related to its first hitting time.