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.
Publié le : 1999-04-14
Classification:
Brownian motion,
hyperbolic function,
local time
@article{1173147905,
author = {Pitman, Jim and Yor, Marc},
title = {Laplace transforms related to excursions of a one-dimensional diffusion},
journal = {Bernoulli},
volume = {5},
number = {6},
year = {1999},
pages = { 249-255},
language = {en},
url = {http://dml.mathdoc.fr/item/1173147905}
}
Pitman, Jim; Yor, Marc. Laplace transforms related to excursions of a one-dimensional diffusion. Bernoulli, Tome 5 (1999) no. 6, pp. 249-255. http://gdmltest.u-ga.fr/item/1173147905/