On the distribution of supremum of diffusion local time

https://doi.org/10.1016/0167-7152(93)90220-DGet rights and content

Abstract

In this note we compute the law of supt ⩾ 0(Lxt − μt), μ ⩾ 0, where Lx is the local time process at a point x associated with a regular one-dimensional diffusion.

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