On the distribution of integral functionals of a homogeneous diffusion process
Volume 1, Issue 2 (2014), pp. 109–116
Pub. online: 29 August 2014
Type: Research Article
Open Access
Open Access
Received
21 July 2014
21 July 2014
Revised
18 August 2014
18 August 2014
Accepted
19 August 2014
19 August 2014
Published
29 August 2014
29 August 2014
Abstract
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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