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- 要約等In [<b>3</b>], Kotani proved analytically that expectations for additive functionals of Brownian motion {<i>B<......>, <i>t</i>≥0} of the form <br><......>ds</i>) ]<br>have the asymptotics <i>t</i><sup>-3/2</sup> as <i>t</i>→∞ for some suitable non-negative functions φ, <i>f</i> and <i>g</i>. This generalizes, in the asymptotic form, Yor's explicit formula [<b>10</b>] for exponential Brownian functionals. <br>In the present paper, we discuss this generalization probabilistically, by using a time-change argument. We may easily see from our argument that this asymptotics <i>t</i><s......mes from the transition probability of 3-dimen...
- 件名time-changes additive functionals of Brownian motion 3-dimensional Bessel processes
- 参照STOCHASTIC INTEGRALS AND DIFFERENTIALS The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments Loi de l'indice du lacet Brownien, e......stribution de Hartman-Watson On some exponential functionals of Brownian motion Limiting laws associated with Brownian motion perturbated by normalized exponential weights Limit...... distributions associated with moments of exponential Brownian functionals Analytic approach to Yor’s formula of exponential additive functionals of Brownian motion A generalization of the FKG inequalities
デジタル記事
インターネットで読める全国の図書館
- 要約等In [3], Kotani proved analytically that expectations for additive functionals of Brownian motion $ {B_t, t geq 0} $ of the form $ E_0......t)g( int_0^t \varphi(B_s)ds)] $ have the asymptotics $ t^{-3}/2 $ as $ t \rigtarrow infty $ for some suitable non-negative functions $ \varphi $, $ f $ and $ g $. This generalizes, in the asymptotic form, Yor’s explicit formula [9] for exponential Brownian functionals. In the present paper, we discuss this generalization probabilistically, by using a time-change argument. We may easily see from our argument that this asymptotics $ t^{-3}/2......mes from the transition probability of 3-dimen...
- 件名Time-changes Additive functionals of Brownian motion 3-dimensional Bessel processes 60J65 60J55...
- 関連情報MHF Preprint Series || MHF2005-21 || p1-22 http://www.math.kyushu-u.ac.jp/gakufu/