Citation
J. Pitman et M. Yor, Laplace transforms related to excursions of a one-dimensional diffusion, BERNOULLI, 5(2), 1999, pp. 249-255
Citations number
15
Categorie Soggetti
Mathematics
Journal title
BERNOULLI
ISSN journal
13507265
→ ACNP
Volume
5
Issue
2
Year of publication
1999
Pages
249 - 255
Database
ISI
SICI code
1350-7265(199904)5:2<249:LTRTEO>2.0.ZU;2-T
Abstract
Various known expressions in terms of hyperbolic functions for the Laplace
transforms of random times related to one-dimensional Brownian motion are d
erived in a unified way by excursion theory and extended to one-dimensional
diffusions.