First exit time from a bounded interval for integrated Brownian motion;Temps de sortie d'un intervalle borné pour l'intégrale du mouvement brownien

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 324, Issue 5, 1997, Pages 559-564

  Lachal, Aimé ^a  

^a UNIVERSITÉ LYON 1   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031101104     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0764-4442(99)80390-5     Document Type: Article

References (11)

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4. [4] Gor'kov Ju P., 1975. A formula for the solution of a certain boundary value problem for the stationary equation of Brownian motion, Sov. Math. Dokl., 16, p. 904-908.
5. [5] Lachal A., 1991. Sur le premier instant de passage de l'intégrale du mouvement brownien, Ann. Inst. H. Poincaré, sect. B, 27, No. 3, p. 385-405.
6. [6] Lachal A. Quelques applications de la théorie des excursions à l'intégrale du mouvement brownien, soumis.
7. [7] Lachal A., First exit time from a bounded interval for integrated Brownian motion, soumis.
8. [8] Lefèbvre M., 1989. First passage densities for a two-dimensional process, SIAM J. Appl. Math., 49, No. 5, pp. 1514-1523.
9. [9] Masoliver J. and Porrà J. M., 1995. Exact solution to the mean exit time problem for free inertial processes driven by Gaussian white noise, Phys. Rev. Lett., 75, No. 2, p. 189-192.
10. [10] McKean H.P. Jr, 1963. A winding problem for a resonator driven by a white noise, J. Math. Kyoto Univ., 2, p. 227-235.
11. [11] Sakalyuk K.D., 1961. Abel's generalized integral equation, Sov. Math. Dokl., 1, p. 332-335.