Laplace transforms related to excursions of a one-dimensional diffusion

被引：20
|
作者：
Pitman, J
Yor, M
机构：
[1] Univ Calif Berkeley, Dept Stat, Berkeley, CA 94720 USA
[2] Univ Paris 06, Probabil Lab, F-75252 Paris 05, France
来源：
BERNOULLI | 1999年 / 5卷 / 02期
关键词：
Brownion motion; hyperbolic function; local time;
D O I：
10.2307/3318434
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：249 / 255
页数：7
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