On the distribution of integral functionals of a homogeneous diffusion process
In this article, we study homogeneous transient diffusion processes. We provide the basic distributions of their local times. It helps to get exact formulas and upper bounds for the moments, exponential moments, and potentials of integral functionals of transient diffusion processes. Some of the res...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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VTeX
2014-08-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/vmsta-2014.10 |
| Summary: | In this article, we study homogeneous transient diffusion processes. We provide the basic distributions of their local times. It helps to get exact formulas and upper bounds for the moments, exponential moments, and potentials of integral functionals of transient diffusion processes. Some of the results generalize the corresponding results of Salminen and Yor for the Brownian motion with drift. |
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| ISSN: | 2351-6046 2351-6054 |