Joint distributions of the the infimum, supremum, and end of a Brownian motion with jumps

被引：0
|
作者：
Borodin A.N. [1 ]
机构：
[1] St. Petersburg Department of Steklov Mathematical Institute, St. Petersburg State University, St. Petersburg
来源：
Journal of Mathematical Sciences | 2013年 / 188卷 / 6期
关键词：
Brownian Motion; Joint Distribution; Final Time; Deterministic Time; Random Moment;
D O I：
10.1007/s10958-013-1157-4
中图分类号：
学科分类号：
摘要：
In this paper, we compute the joint distributions of the infimum, supremumm, and end of a Brownian motion with jumps. The final time of a Brownian motion with jumps is taken at an exponentially distributed random moment independent of the process. This corresponds to the Laplace transform with respect to the deterministic time of the considered joint distributions. © 2013 Springer Science+Business Media New York.
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收藏
页码：677 / 685
页数：8
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