Some calculations for doubly perturbed Brownian motion

L. Chaumont and R. A. Doney

Stochastic Processes and their Applications, 2000, vol. 85, issue 1, 61-74

Abstract: In the present paper we compute the laws of some functionals of doubly perturbed Brownian motion, which is the solution of the equation Xt=Bt+[alpha] sups[less-than-or-equals, slant]t Xs+[beta] infs[less-than-or-equals, slant]t Xs, where [alpha],[beta]

Date: 2000
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