Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:218-227