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

被引：1

作者：

Deng, Yingchun ^{[1
]}

Huang, Xuan ^{[1
]}

Huang, Ya ^{[2
]}

Xiang, Xuyan ^{[3
,4
]}

Zhou, Jieming ^{[1
]}

机构：

[1] Hunan Normal Univ, LCSM, Minist Educ, Sch Math & Stat, Changsha 410081, Peoples R China

[2] Hunan Normal Univ, Sch Business, Changsha 410081, Peoples R China

[3] Hunan Univ Arts & Sci, Coll Math & Computat Sci, Changde 415000, Peoples R China

[4] Hunan Prov Cooperat Innovat Ctr Construct & Dev D, Changde 415000, Peoples R China

来源：

INDIAN JOURNAL OF PURE & APPLIED MATHEMATICS | 2020年 / 51卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Diffusion processes; occupation time; Laplace transform; exit time; EXPONENTIAL JUMPS; LEVY;

D O I：

10.1007/s13226-020-0404-x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：345 / 360

页数：16

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