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Integral functionals under the excursion measure

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cris.lastimport.scopus2024-02-12T20:00:58Z
dc.abstract.enA new approach to the problem of finding the distribution of integral functionals under the excursion measure is presented. It is based on the technique of excursion straddling a time, stochastic analysis, and calculus on local time, and it is done for Brownian motion with drift reflecting at 0, and under some additional assumptions for some class of Itó diffusions. The new method is an alternative to the classical potential-theoretic approach and gives new specific formulas for distributions under the excursion measure.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorWiśniewolski, Maciej
dc.date.accessioned2024-01-25T04:20:14Z
dc.date.available2024-01-25T04:20:14Z
dc.date.issued2020
dc.description.financePublikacja bezkosztowa
dc.description.number1
dc.description.volume57
dc.identifier.doi10.1017/JPR.2019.90
dc.identifier.issn0021-9002
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/109412
dc.identifier.weblinkhttps://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0021900219000901
dc.languageeng
dc.pbn.affiliationmathemathics
dc.relation.ispartofJournal of Applied Probability
dc.relation.pages137-155
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleIntegral functionals under the excursion measure
dc.typeJournalArticle
dspace.entity.typePublication