Dernier instant de passage pour l'intégrale du mouvement brownien

Aimé Lachal

Stochastic Processes and their Applications, 1994, vol. 49, issue 1, 57-64

Abstract: Soit (Bt)t [greater-or-equal, slanted] 0 le mouvement brownien linéaire démarrant de l'origine, [tau]-a,T = max {t [epsilon] [0,T] : [integral operator]t0 Bs ds+x+ty = a} et [tau]+a,T = min {t [greater-or-equal, slanted] T: [integral operator]t0 Bs ds+x+ty = a}. Dans cette note nous déterminons la loi du vecteur aléatoire ([tau]-a,T, [tau]+a,T, B[tau]+a,T).

Date: 1994
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