On the distribution of integral functionals of a homogeneous diffusion process
Анотація
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.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
On the small-time behaviour of Lévy-type processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Lower bounds of the Hausdorff dimension for the images of Feller processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Intrinsic small time estimates for distribution densities of Lévy processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Optimal stopping time problem for random walks with polynomial reward functions
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Law of the iterated logarithm for solutions of stochastic equations
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models