摘要
用文献提出的方法,探讨了一维时齐扩散过程,当c<a<b时,在离开区间(c,b)之前,分别在区间(c,a)或(a,b)的占位时与停时τ_c和τ_b的双Laplace变换。Laplace变换的表达式用扩散过程对应的微分方程的解表示。
The approach of Li and Zhou(2014)is adopted to discuss double Laplace transform of one-dimensionaltime-homogeneous diffusion process.When c<a<b,double Laplace transforms of stopping timeτc orτb andoccupation times over intervals(c,a)and(a,b)are found out before exiting interval(c,b).The results are expressedin terms of solutions to the differential equations associated with the diffusions generator.
作者
陈晨
陈晔
周林
Chen Chen;Chen Ye;Zhou Lin(College of Mathematics and Statistics, Changsha University of science and Technology, Changsha 410114,China;College of Mathematics and Computational Science, Hunan University of Arts and Science, Changde 415000, China)
出处
《湖南文理学院学报（自然科学版）》
CAS
2017年第2期1-4,共4页
Journal of Hunan University of Arts and Science(Science and Technology)
基金
国家自然科学基金(11571052
11171044)
湖南省自然科学基金(2016JJ4061)
湖南省研究生科研创新项目(CX2016B417)
湖南文理学院科学研究项目(15ZD05)
关键词
时齐扩散过程
占位时
LAPLACE变换
time-homogeneous diffusion process
occupation time
Laplace transform
