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Laplace Transforms Related to Excursions of a One-Dimensional Diffusion

Jim Pitman and Marc Yor
Bernoulli
Vol. 5, No. 2 (Apr., 1999), pp. 249-255
DOI: 10.2307/3318434
Stable URL: http://www.jstor.org/stable/3318434
Page Count: 7
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Laplace Transforms Related to Excursions of a One-Dimensional Diffusion
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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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