An occupation time related potential measure for diffusion processes

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Cites Work

scientific article; zbMATH DE number 1817636 (Why is no real title available?)
scientific article; zbMATH DE number 3447884 (Why is no real title available?)
A joint Laplace transform for pre-exit diffusion of occupation times
Corridor options and arc-sine law.
Diffusion Processes in One Dimension
Diffusion occupation time before exiting
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
Exit identities for Lévy processes observed at Poisson arrival times
Fluctuations of Omega-killed spectrally negative Lévy processes
Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
How long is the surplus below zero?
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Laplace transforms related to excursions of a one-dimensional diffusion
Occupation and local times for skew Brownian motion with applications to dispersion across an interface
Occupation measure and local time of classical risk processes
Occupation times for Markov-modulated Brownian motion
Occupation times in the MAP risk model
Occupation times of intervals until first passage times for spectrally negative Lévy processes
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
Occupation times of refracted Lévy processes
Occupation times of spectrally negative Lévy processes with applications
On pre-exit joint occupation times for spectrally negative Lévy processes
On the constructions of the skew Brownian motion
On the distribution of the duration of negative surplus
On the refracted-reflected spectrally negative Lévy processes
On the time spent in the red by a refracted Lévy risk process
Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater
Step options.
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
The joint Laplace transforms for diffusion occupation times
Two-sided discounted potential measures for spectrally negative Lévy processes

Cited In (10)

On a system of q‐modified Laplace transform and its applications
Joint distributions concerning last exit time for diffusion processes
An uncertainty principle for the basic wavelet transform
Diffusion occupation time before exiting
On a system of \(q\)-Laplace transform of two variables with applications
The joint Laplace transforms for killed diffusion occupation times
Exit identities for diffusion processes observed at Poisson arrival times
On occupation times of one-dimensional diffusions
Probability distribution to obtain the characteristic passage time for different tri-stable potentials
A joint Laplace transform for pre-exit diffusion of occupation times

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