On the distribution of integral functionals of a homogeneous diffusion process

DOI10.15559/vmsta-2014.10zbMath1349.60129OpenAlexW1985217247MaRDI QIDQ341080

M. O. Perestyuk, Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 16 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/vmsta-2014.10

zbMATH Keywords

momentsintegral functionaldistribution of local timeexponential moments and potentialshomogeneous transient diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

Cites Work

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• Convergence of integral functionals of one-dimensional diffusions
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• A note on a.s. finiteness of perpetual integral functionals of diffusions
• Properties of perpetual integral functionals of Brownian motion with drift