Diffusion occupation time before exiting

DOI10.1007/S11464-014-0402-6MaRDI QIDQ2259237zbMATHOpenAlexFDO

Authors Suxin Wang, Na Zhu, Yingqiu Li, Xiaowen Zhou

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)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3878098 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Diffusion Processes in One Dimension
• Diffusion processes with continuous coefficients, I
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Occupation times of spectrally negative Lévy processes with applications
• On the constructions of the skew Brownian motion
• Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater
• The Confluent Hypergeometric Function
• The First Passage Problem for a Continuous Markov Process
• The joint Laplace transforms for diffusion occupation times

Cited in

(18)

• On occupation times of one-dimensional diffusions
• On a system of \(q\)-Laplace transform of two variables with applications
• On a system of q‐modified Laplace transform and its applications
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
• Occupation times of refracted double exponential jump diffusion processes
• An occupation time identity for reflecting Brownian motion with drift
• A joint Laplace transform for pre-exit diffusion of occupation times
• \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
• An occupation time related potential measure for diffusion processes
• Two-sided discounted potential measures for spectrally negative Lévy processes
• The joint Laplace transforms for killed diffusion occupation times
• The joint Laplace transforms for diffusion occupation times
• Ornstein-Uhlenback type Omega model
• Joint distributions concerning last exit time for diffusion processes
• A note on occupation times of stationary processes
• Monotonicity properties and bounds involving the two-parameter generalized Grötzsch ring function
• Stochastic areas of diffusions and applications

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