Book Chapter

On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Year:

2014

Published in:

Bocconi & Springer Series

Authors:

, ,

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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