2 papers
math.PR2018
On the local time process of a skew Brownian motion
Andrei Borodin, Paavo Salminen
We derive a Ray-Knight type theorem for the local time process (in the space variable) of a skew Brownian motion up to an independent exponential time. It is known that the local t…
math.PR2004
On some exponential integral functionals of BM() and BES(3)
A. N. Borodin, Paavo Salminen
In this paper we derive the Laplace transforms of the integral functionals $$ \int_0^\infty (p(\exp(R…