For a < r < b, the approach of Li and Zhou(2014) is adopted to find joint Laplace transforms of occupation times over intervals(a, r) and(r, b) for a time homogeneous diffusion process before it first exits from...For a < r < b, the approach of Li and Zhou(2014) is adopted to find joint Laplace transforms of occupation times over intervals(a, r) and(r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively.展开更多
基金Supported by NSFC(Grant Nos.11171101,11171044,11571052 and 11671132)Key Laboratory of High Performance Computing and Stochastic Information Processing(HPCSIP)+2 种基金Education Ministry of China,Hu’nan Normal UniversityNatural Science Foundation of Hu’nan Province(Grant No.2016JJ4061)Scientific Research Pro ject of Hu’nan University of Arts and Science(Grant No.15ZD05)
文摘For a < r < b, the approach of Li and Zhou(2014) is adopted to find joint Laplace transforms of occupation times over intervals(a, r) and(r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively.
