Laplace transforms related to excursions of a one-dimensional diffusion. (English) Zbl 0921.60015
Summary: 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.
MSC:
60E10 | Characteristic functions; other transforms |
60J65 | Brownian motion |
60J60 | Diffusion processes |