The Joint Laplace Transforms for Diffusion Occupation Times

DOI10.1239/aap/1386857857zbMath1370.60136OpenAlexW1997567442MaRDI QIDQ5396591

Bin Li, Xiao-Wen Zhou

Publication date: 31 January 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1386857857

zbMATH Keywords

ruin probabilityoccupation timeexit problemtime-homogeneous diffusion

Mathematics Subject Classification ID

Related Items (24)

An occupation time related potential measure for diffusion processes ⋮ Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Joint distributions concerning last exit time for diffusion processes ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ Stochastic areas of diffusions and applications ⋮ Sojourn times of Gaussian processes with trend ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Occupation time of Lévy processes with jumps rational Laplace transforms ⋮ Ornstein-Uhlenback type Omega model ⋮ Diffusion occupation time before exiting ⋮ A joint Laplace transform for pre-exit diffusion of occupation times ⋮ On the last exit times for spectrally negative Lévy processes ⋮ A temporal approach to the Parisian risk model ⋮ Occupation times of intervals until last passage times for spectrally negative Lévy processes ⋮ Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view ⋮ A result on the Laplace transform associated with the sticky Brownian motion on an interval ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

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