n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes-Reference-Cited by-同舟云学术

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n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes

Published:2020-03 Issue:1 Volume:51 Page:345-360
ISSN:0019-5588
Container-title:Indian Journal of Pure and Applied Mathematics
language:en
Short-container-title:Indian J Pure Appl Math

Author:

Deng Yingchun,Huang Xuan,Huang Ya,Xiang Xuyan,Zhou Jieming

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s13226-020-0404-x.pdf

Reference23 articles.

1. J. Bertoin, Levy processes, Cambridge University Press, Cambridge, 1996.

2. A. N. Borodin and P. Salminen, Handbook of Brownian motion-facts and formulae, Second Edition, Birkhauser Verlag, Basel, 2002.

3. N. Cai, N. Chen, and X. Wan, Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options, Mathematics of Operations Research, 35 (2010), 412–437.

4. Y. Chen, X. Yang, Y. Q. Li, and X. Zhou, A joint Laplace transform for pre-exit diffusion of occupation times, Acta Mathematic Sinica, English series, 33 (2017a), 509–525.

5. Y. Chen, Y. Q. Li, and X. Zhou, An occupation time related potential measure for diffusion processes, Frontiers of Mathematics in China, 12 (2017b), 1–24.

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