On the first hitting place of the integrated Wiener process

Authors
Lefebvre, Mario Léonard, Éric
Citation
Lefebvre, Mario et Léonard, Éric, On the first hitting place of the integrated Wiener process, Advances in applied probability , 21(4), 1989, pp. 945-948
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
21
Issue
4
Year of publication
1989
Pages
945 - 948
Database
ACNP
SICI code
Abstract
Let dx(t) = y(t) dt, where y(t) is a one-dimensional Wiener process. In this note, we obtain a formula for the moment-generating function of y(T), where T is the 1/2-winding time about the origin of the integrated Wiener process x(t).