A joint Laplace transform for pre-exit diffusion of occupation times
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10114-016-5184-1.pdf
Reference17 articles.
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2. Appuhamillage, T., Bokil, V., Thomann, E., et al.: Occupation and local times for skew Brownian motion with applications to dispersion across an interface. Ann. Probab., 21, 183–214 (2011)
3. Borodin, A. N., Salminen, P.: Handbook of Brownian Motion-Facts and Formulae, Second edition, Birkhäuser Verlag, Basel, 2002
4. Cai, N., Chen, N., Wan, X.: Ocuupation times of jump-diffusion processes with double exponential jumps and the pricing of options. Math. Oper. Res., 35, 412–437 (2010)
5. Feller, W.: Diffusion processes in one dimension. Trans. Amer. Math. Soc., 77, 1–31 (1954)
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1. Joint Distributions Concerning Last Exit Time for Diffusion Processes;Frontiers of Mathematics;2023-09
2. Exit identities for diffusion processes observed at Poisson arrival times;Frontiers of Mathematics in China;2020-06
3. n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes;Indian Journal of Pure and Applied Mathematics;2020-03
4. An occupation time related potential measure for diffusion processes;Frontiers of Mathematics in China;2017-01-14
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