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Occupation times of refracted double exponential jump diffusion processes

Jiang Zhou and Lan Wu

Statistics & Probability Letters, 2015, vol. 106, issue C, 218-227

Abstract: Motivated by our previous research, we investigate the problem of computing the occupation times of a refracted double exponential jump diffusion process. For such a process, we derive formulas for the Laplace transform of its occupation times.

Keywords: Occupation times; Refracted Lévy process; Laplace transform; Two-sided exit problem (search for similar items in EconPapers)
Date: 2015
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