n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes

Yingchun Deng, Xuan Huang, Ya Huang, Xuyan Xiang and Jieming Zhou ()
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Yingchun Deng: Hunan Normal University
Xuan Huang: Hunan Normal University
Ya Huang: Hunan Normal University
Xuyan Xiang: Hunan University of Arts and Science
Jieming Zhou: Hunan Normal University

Indian Journal of Pure and Applied Mathematics, 2020, vol. 51, issue 1, 345-360

Abstract: Abstract In this paper, we adopt a Poisson approach to find Laplace transforms of joint occupation times over n disjoint intervals for pre-exit diffusion processes. Then we generalize previous result for the 2-dimensional case and the 3-dimensional case.

Keywords: Diffusion processes; occupation time; Laplace transform; exit time; 60J60; 60G17 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s13226-020-0404-x

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