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Abstract A new approach to the problem of finding the distribution of integral functionals under the excursion measure is presented. It is based on the technique of excursion straddling a… Click to show full abstract
Abstract A new approach to the problem of finding the distribution of integral functionals under the excursion measure is presented. It is based on the technique of excursion straddling a time, stochastic analysis, and calculus on local time, and it is done for Brownian motion with drift reflecting at 0, and under some additional assumptions for some class of Itó diffusions. The new method is an alternative to the classical potential-theoretic approach and gives new specific formulas for distributions under the excursion measure.
Journal Title: Journal of Applied Probability
Year Published: 2020
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