Laplace Transforms Related to Excursions of a One-dimensional Diffusion

Laplace Transforms Related to Excursions of a One-dimensional Diffusion

Report Number
467
Authors
Jim Pitman and Marc Yor
Citation
Bernoulli 5, 249-255, 1999
Abstract

Various known expressions in terms of hyperbolic functions for the Laplace transforms of random times related to one-dimensional Brownian motion are derived in a unified way by excursion theory and extended to one-dimensional diffusions.

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