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math.PR2024
Occupation times on the legs of a diffusion spider
Paavo Salminen, David Stenlund
We study the joint moments of occupation times on the legs of a diffusion spider. Specifically, we give a recursive formula for the Laplace transform of the joint moments, which ex…
math.PR2019★ 5 cited
On occupation times of one-dimensional diffusions
Paavo Salminen, David Stenlund
In this paper we study the moment generating function and the moments of occupation time functionals of one-dimensional diffusions. Assuming, specifically, that the process lives o…
math.PR2018
On the Mabinogion urn model
David Stenlund
In this paper we discuss the Mabinogion urn model introduced by D. Williams in Probability with Martingales (1991). Therein he describes an optimal control problem where the object…