An occupation time related potential measure for diffusion processes

DOI10.1007/S11464-017-0625-4zbMATH Open1370.60133OpenAlexW2578341918MaRDI QIDQ2358367FDOQ2358367

Authors: Ye Chen, Yingqiu Li, Xiaowen Zhou

Publication date: 14 June 2017

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

Full work available at URL: https://doi.org/10.1007/s11464-017-0625-4

Recommendations

Occupation time theorems for a class of one-dimensional diffusion processes
On the discrete approximation of occupation time of diffusion processes
The diffusive behavior of the occupation time function in exclusion processes
Occupation times for single-file diffusion
On occupation times of one-dimensional diffusions
Occupation time of exclusion processes with conductances
Diffusion in a potential with a time-dependent discontinuity
Stochastic dynamics and passage times for diffusion approximations
The joint Laplace transforms for diffusion occupation times
Characteristic times of anomalous diffusion in a potential

zbMATH Keywords

Laplace transform occupation time Brownian motion skew Brownian motion diffusion processes exit time potential measure

Mathematics Subject Classification ID

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

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Occupation and local times for skew Brownian motion with applications to dispersion across an interface
On the constructions of the skew Brownian motion
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
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Diffusion Processes in One Dimension
Occupation times of spectrally negative Lévy processes with applications
How long is the surplus below zero?
Exit identities for Lévy processes observed at Poisson arrival times
Step options.
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
Occupation times of refracted Lévy processes
On the time spent in the red by a refracted L\'evy risk process
The Joint Laplace Transforms for Diffusion Occupation Times
Laplace transforms related to excursions of a one-dimensional diffusion
On pre-exit joint occupation times for spectrally negative Lévy processes
Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
Diffusion occupation time before exiting
Two-sided discounted potential measures for spectrally negative Lévy processes
On the distribution of the duration of negative surplus
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
A joint Laplace transform for pre-exit diffusion of occupation times
Fluctuations of Omega-killed spectrally negative Lévy processes
On the refracted-reflected spectrally negative Lévy processes
Occupation measure and local time of classical risk processes
Corridor options and arc-sine law.
Occupation times for Markov-modulated Brownian motion
Occupation times in the MAP risk model

Cited In (7)

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
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
Probability distribution to obtain the characteristic passage time for different tri-stable potentials

This page was built for publication: An occupation time related potential measure for diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2358367)