A Joint Laplace Transform for Pre-exit Diffusion of Occupation Times
查看参考文献17篇
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文摘
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For a < r < b, the approach of Li and Zhou (2014) is adopted to find joint Laplace transforms of occupation times over intervals (a, r) and (r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively. |
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来源
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Acta Mathematica Sinica. English Series
,2017,33(4):509-525 【核心库】
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DOI
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10.1007/s10114-016-5184-1
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关键词
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Laplace transform
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occupation time
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time-homogeneous diffusion
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exit time
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Brownian motion with alternating drift
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skew Brownian motion
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地址
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1.
College of Mathematics and Computer Science, Hu'nan Normal University, Changsha, 410081
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College of Mathematics and Statistics, Changsha University of Science and Technology, Changsha, 410114
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Department of Mathematics and Statistics, Concordia University, Canada, Montreal, H3G 1M8
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语种
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英文 |
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文献类型
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研究性论文 |
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ISSN
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1439-8516 |
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学科
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数学 |
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基金
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国家自然科学基金
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Key Laboratory of High Performance Computing and Stochastic Information Processing (HPCSIP), Education Ministry of China, Hu'nan Normal University
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Natural Science Foundation of Hu'nan Province
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Scientific Research Project of Hu'nan University of Arts and Science
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文献收藏号
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CSCD:5980130
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