Excursion Laplace Exponents Under Height Truncation

We study one-dimensional diffusions reflected at a boundary and analyze their pathwise “episodes” away from the boundary through Itô’s excursion theory. Under a fixed height cap of a>0, each excursion is equipped with three natural marks: its lifetime ζ, its maximum M, and an additive (area-type) functional Af=∫0ζf(et)dt. Our main object is the height-truncated Itô-excursion Laplace exponent Ψα,λ;af:=n1−e−αζ−λAf; M<a which jointly characterizes episode duration and cumulative load while excluding barrier-crossing spikes. We establish a general boundary–flux representation: Ψα,λ;af is obtained as a boundary flux (in scale) of the unique solution to a one-dimensional killed Feynman–Kac boundary-value problem on (0, a). This transfer principle yields a unified and tractable route to explicit computation. We implement it in three solvable families—the reflected arithmetic Brownian motion, reflected Ornstein–Uhlenbeck diffusions, and squared Bessel/Bessel-type diffusions—obtaining closed forms in terms of Airy, parabolic-cylinder, and confluent hypergeometric/Whittaker functions. Using the Poisson point process structure of excursions indexed by local time, we derive explicit extreme-burst laws (maxima and order statistics) for the additive marks up to a local-time horizon, and connect tail intensities to Laplace exponents via numerical Laplace inversion. Finally, we identify the strictly truncated cumulative load in local time as a (typically infinite-activity) subordinator whose Lévy measure coincides with the excursion-mark intensity, linking cumulative-load and extreme-burst statistics through the same exponent.