Skip to main content
SpringerLink
Log in

Distribution of Integral Functionals of Gaussian Diffusion Bridges

  • Published:
Journal of Mathematical Sciences Aims and scope Submit manuscript

The paper deals with an original approach to derivation of a parabolic equation for the Laplace transform of the distributions of an integral functional of a Gaussian diffusion bridge.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. A. N. Kolmogow, “Analytic methods in probability theory,” Usp. Mat. Nauk, 5, 5–41 (1938).

    Google Scholar 

  2. M. Kac, “On some connections between probability theory and differential and integral equations,” Proc. Second Berkeley Symp. Math. Stat. Probab., 189–215 (1951).

  3. E. B. Dynkin, “Functionals of Trajectories of Markov processes,” Dokl. AN SSSR, 104, 691–694 (1955).

    MATH  MathSciNet  Google Scholar 

  4. P. Billingsley, Convergence of Probability Measures, John Wiley & Sons, New York (1968).

    MATH  Google Scholar 

  5. A. N. Borodin and P. Salminen, Handbook of Brownian Motion–Facts and Formulae, 2nd. ed., Birkhäuser, Basel–Boston–Berlin (2002).

    Book  MATH  Google Scholar 

  6. J. W. Pitman and M. Yor, “A decomposition of Bessel bridges,” Z. Wahrsch. verw. Gebiete, 59, 425–457 (1982).

    Article  MATH  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. St. Petersburg Department of the Steklov Mathematical Institute and St. Petersburg State University, St. Petersburg, Russia

    A. Borodin

Authors
  1. A. Borodin
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to A. Borodin.

Additional information

Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 408, 2012, 74–83.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Borodin, A. Distribution of Integral Functionals of Gaussian Diffusion Bridges. J Math Sci 199, 107–112 (2014). https://doi.org/10.1007/s10958-014-1837-8

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10958-014-1837-8

Keywords

Search

Navigation