A joint Laplace transform for pre-exit diffusion of occupation times

DOI10.1007/s10114-016-5184-1zbMath1370.60134OpenAlexW2555364801MaRDI QIDQ2013127

Ye Chen, Xiao-Wen Zhou, Ying-qiu Li, Xiang-Qun Yang

Publication date: 3 August 2017

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-016-5184-1

zbMATH Keywords

Laplace transformBrownian motionoccupation timeexit timeskew Brownian motiontime-homogeneous diffusionalternating drift

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Sample path properties (60G17)

Related Items

An occupation time related potential measure for diffusion processes ⋮ Joint distributions concerning last exit time for diffusion processes ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Exit identities for diffusion processes observed at Poisson arrival times

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