Diffusion occupation time before exiting

DOI10.1007/S11464-014-0402-6zbMATH Open1308.60093OpenAlexW1988640380MaRDI QIDQ2259237FDOQ2259237

Xiaowen Zhou, Suxin Wang, Na Zhu, Yingqiu Li

Publication date: 27 February 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-014-0402-6

zbMATH Keywords

occupation timediffusion processexit problemLaplace transformsoccupation densityBrownian motion with two-valued driftskew Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Sample path properties (60G17)

Cites Work

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Cited In (11)

• \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
• An occupation time related potential measure for diffusion processes
• On a system of q‐modified Laplace transform and its applications
• Two-sided discounted potential measures for spectrally negative Lévy processes
• Joint distributions concerning last exit time for diffusion processes
• Monotonicity properties and bounds involving the two-parameter generalized Grötzsch ring function
• On a system of \(q\)-Laplace transform of two variables with applications
• The joint Laplace transforms for killed diffusion occupation times
• Stochastic areas of diffusions and applications
• A joint Laplace transform for pre-exit diffusion of occupation times
• Ornstein-Uhlenback type Omega model

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