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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