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math.PR2024
Drawdowns of diffusions
Paavo Salminen, Pierre Vallois
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the…
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…