Book Chapter

On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Year:

2014

Published in:

Bocconi & Springer Series
Homogeneous transient diffusion process
distribution of local time
integral functional
moments
exponential moments and potentials

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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