The joint Laplace transforms for killed diffusion occupation times

DOI10.1007/s11766-024-3792-6MaRDI QIDQ6636857

Ye Chen, Ying-qiu Li

Publication date: 12 November 2024

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

zbMATH Keywords

Laplace transformBrownian motion with driftoccupation timejoint occupation timetime-homogeneous diffusion process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sample path properties (60G17)

This page was built for publication: The joint Laplace transforms for killed diffusion occupation times