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On the first hitting place of the integrated Wiener process

Published online by Cambridge University Press:  01 July 2016

Mario Lefebvre  and
Éric Léonard
Mario Lefebvre
Affiliation:
École Polytechnique de Montréal
Éric Léonard*
Affiliation:
École Polytechnique de Montréal
*
∗Postal address for both authors: Département de mathématiques appliquées, École Polytechnique de Montréal, Case postale 6079, Succursale “A”, Montréal, Québec, Canada H3C 3A7.
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Abstract

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Let dx(t) = y(t) dt, where y(t) is a one-dimensional Wiener process. In this note, we obtain a formula for the moment-generating function of y(T), where T is the 1/2-winding time about the origin of the integrated Wiener process x(t).

Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 21 , Issue 4 , December 1989 , pp. 945 - 948
Copyright
Copyright © Applied Probability Trust 1989 

Footnotes

Research supported by the Natural Sciences and Engineering Research Council of Canada.

References

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