Laplace transforms related to excursions of a one-dimensional diffusion

Jim Pitman; Marc Yor

doi:bj/1173147905

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Home > Journals > Bernoulli > Volume 5 > Issue 2 > Article

april 1999 Laplace transforms related to excursions of a one-dimensional diffusion

Jim Pitman, Marc Yor

Author Affiliations +

Jim Pitman,¹ Marc Yor
¹Department of Statistics, University of California

Bernoulli 5(2): 249-255 (april 1999).

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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.