Laplace Transforms Related to Excursions of a One-Dimensional Diffusion

Jim Pitman, Marc Yor

Type: Article

Publication Date: 1999-04-01

Citations: 27

DOI: https://doi.org/10.2307/3318434

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 uni®ed way by excursion theory and extended to one-dimensional diffusions.

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+	Characterization of the Levy Measures of Inverse Local Times of Gap Diffusion	1981	Frank B. Knight
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+	Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability; Vol. IV	1969	H. L. Le Roy Lucien LeCam Jerzy Neyman
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