Laplace transforms related to excursions of a one-dimensional diffusion

DOI10.2307/3318434zbMath0921.60015OpenAlexW1999563955MaRDI QIDQ1290374

Marc Yor, Jim W. Pitman

Publication date: 29 September 1999

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2586cb1add5c74131a35ac4665fbc925837324db

zbMATH Keywords

Brownian motionlocal timehyperbolic function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (13)

On the distribution of ranked heights of excursions of a Brownian bridge. ⋮ An occupation time related potential measure for diffusion processes ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ A reading guide for last passage times with financial applications in view ⋮ Integral functionals under the excursion measure ⋮ On bivariate distributions of the local time of Itô-McKean diffusions ⋮ The Joint Laplace Transforms for Diffusion Occupation Times ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions ⋮ A joint Laplace transform for pre-exit diffusion of occupation times ⋮ On the excursion theory for linear diffusions ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

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