Related papers: On some exponential integral functionals of BM($\m…

For Brownian motion in a (two-dimensional) wedge with negative drift and oblique reflection on the axes, we derive an explicit formula for the Laplace transform of its stationary distribution (when it exists), in terms of Cauchy integrals…

Consider the $\lambda$-Green function and the $\lambda$-Poisson kernel of a Lipschitz domain $U\subset \mathbb H^n=\left\{x\in\mathbb R^n:x_n>0\right\}$ for hyperbolic Brownian motion with drift. We provide several relationships that…

In this work the authors use their contour integral method to derive a double integral connected to the modified Bessel function of the second kind and express it in terms of the Lerch function. There are some useful results relating double…

Let B_1,B_2, ... be independent one-dimensional Brownian motions defined over the whole real line such that B_i(0)=0. We consider the nth iterated Brownian motion W_n(t)= B_n(B_{n-1}(...(B_2(B_1(t)))...)). Although the sequences of…

Asymptotic expansions for the Bateman and Havelock functions defined respectively by the integrals \[\frac{2}{\pi}\int_0^{\pi/2} \!\!\!\begin{array}{c} \cos\\\sin\end{array}\!(x\tan u-\nu u)\,du\] are obtained for large real $x$ and large…

We present a systematic analytic study of the $p$-Bessel functions $\mathcal{J}_{\omega,\varphi}^{[p]}$, a novel class of generalized Bessel functions arising from Fourier analysis on planar domains bounded by $p$-circles, including…

This paper derives new integral representations for products of two parabolic cylinder functions. In particular, expressions are obtained for D_{nu}(x)D_{mu}(y), with x>0 and y>0, that allow for different orders and arguments in the two…

We establish new estimates to compute the $\lambda$-function of Aron and Lohman on the unit ball of a JB$^*$-triple. It is established that for every Brown-Pedersen quasi-invertible element $a$ in a JB$^*$-triple $E$ we have $$\hbox{dist}…

We provide new formulae for the degenerations of the bilateral basic hypergeometric function ${}_1\psi_1 ( a; b; q, z )$ with using the $q$-Borel-Laplace transformation. These are thought of as the first step to construct connection…

In this paper, with the help of a result by Matsumoto--Yor (2000), we prove a Girsanov-type formula for a class of anticipative transforms of Brownian motion which possesses exponential functionals as anticipating factors. Our result…

Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion. As an application of a recent result of ours on exponential functionals of Brownian motion, we show in this paper that, for every fixed $t>0$, the process given by…

A Fourier-type integral representation for Bessel's function of the first kind and complex order is obtained by using the Gegenbuaer extension of Poisson's integral representation for the Bessel function along with a trigonometric integral…

We present a general approach for evaluating a large variety of three-dimensional Fourier transforms. The transforms considered include the useful cases of the Coulomb and dipole potentials, and include situations where the transforms are…

Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…

Let $\{D(s), s \geq 0\}$ be a non-decreasing L\'evy process. The first-hitting time process $\{E(t) t \geq 0\}$ (which is sometimes referred to as an inverse subordinator) defined by $E(t) = \inf \{s: D(s) > t \}$ is a process which has…

Integrals of products of Bessel functions exhibit an intriguing feature: under certain conditions on the parameters specifying the integrand, they vanish identically. We provide a physical interpretation of this feature in the context of…

In the first part of this paper, we express the generalized Bessel function associated with dihedral systems and a constant multiplicity function as a infinite series of confluent Horn functions. The key ingredient leading to this…

We characterize of the $q$-Bernstein functions in terms of $q$-Laplace transform. Moreover, we present several results of $q$-completely monotonic, $q$-log completely monotonic and $q$-Bernstein functions.

In this paper, we first establish explicit evaluations of six classes of hyperbolic sums by special values of the Gamma function by using the tools of the Fourier series expansions and the Maclaurin series expansions of a few Jacobi…

The action of the finite Hilbert transform defined on $L^\infty(-1,1)$ and taking its values in the Zygmund space $L_{\textnormal{exp}}(-1,1)$ is studied in detail. This is a reciprocal situation to the investigation recently undertaken in…