The joint Laplace transforms for diffusion occupation times
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Cites work
- Controlled diffusion models for optimal dividend pay-out
- Diffusion Processes in One Dimension
- Diffusion processes with continuous coefficients, I
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- From ruin to bankruptcy for compound Poisson surplus processes
- Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
- How long is the surplus below zero?
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- Laplace transforms related to excursions of a one-dimensional diffusion
- 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 optimal dividends: from reflection to refraction
- Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Randomized onservation periods for the compound Poisson risk model: dividends
- The First Passage Problem for a Continuous Markov Process
- The Omega model: from bankruptcy to occupation times in the red
- The optimal dividend barrier in the gamma-omega model
- The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise
- Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
Cited in
(32)- Laplace transforms related to excursions of a one-dimensional diffusion
- Fluctuations of Omega-killed spectrally negative Lévy processes
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
- Occupation times of intervals until last passage times for spectrally negative Lévy processes
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- Occupation time of Lévy processes with jumps rational Laplace transforms
- A joint Laplace transform for pre-exit diffusion of occupation times
- General draw-down times for refracted spectrally negative Lévy processes
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- Sojourn times of Gaussian processes with trend
- Diffusion occupation time before exiting
- An occupation time related potential measure for diffusion processes
- On the joint law of the occupation times for a diffusion process on multiray
- On the occupation times in a delayed Sparre Andersen risk model with exponential claims
- Sojourn time in an union of intervals for diffusions
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Omega diffusion risk model with surplus-dependent tax and capital injections
- A result on the Laplace transform associated with the sticky Brownian motion on an interval
- Stochastic integral representations of the extrema of time-homogeneous diffusion processes
- Drawdown analysis for the renewal insurance risk process
- On the last exit times for spectrally negative Lévy processes
- A temporal approach to the Parisian risk model
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- Ornstein-Uhlenback type Omega model
- Laplace Transforms for Integrals of Markov Processes
- Joint distributions concerning last exit time for diffusion processes
- The joint Laplace transforms for killed diffusion occupation times
- The ultimate drawdown insurance and its state-dependent premium
- Occupation time, quantile and rank of the Ornstein-Uhlenbeck process and their applications to mathematical finance
- Title not available (Why is no real title available?)
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Stochastic areas of diffusions and applications
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