Diffusion occupation time before exiting

DOI10.1007/s11464-014-0402-6zbMath1308.60093OpenAlexW1988640380MaRDI QIDQ2259237

Suxin Wang, Na Zhu, Xiao-Wen Zhou, Ying-qiu 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

Laplace transformsdiffusion processoccupation timeexit problemoccupation densityBrownian motion with two-valued driftskew Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

Related Items (10)

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

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• The Joint Laplace Transforms for Diffusion Occupation Times
• Diffusion processes with continuous coefficients, I
• The Confluent Hypergeometric Function
• The First Passage Problem for a Continuous Markov Process
• Diffusion Processes in One Dimension

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