A joint Laplace transform for pre-exit diffusion of occupation times
| Autor: | Xiang Qun Yang, Xiao Wen Zhou, Ye Chen, Ying Qiu Li |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Geometric Brownian motion
Fractional Brownian motion Laplace transform Applied Mathematics General Mathematics 010102 general mathematics Mathematical analysis Brownian excursion 01 natural sciences Laplace distribution 010104 statistics & probability Diffusion process Reflected Brownian motion 0101 mathematics Brownian motion Mathematics |
| Zdroj: | Acta Mathematica Sinica, English Series. 33:509-525 |
| ISSN: | 1439-7617 1439-8516 |
| Popis: | For a < r < b, the approach of Li and Zhou (2014) is adopted to find joint Laplace transforms of occupation times over intervals (a, r) and (r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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