The joint Laplace transforms for killed diffusion occupation times

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外文摘要：The approach of Li and Zhou(2014)is adopted to find the Laplace transform of occupation time over interval(0,a)and joint occupation times over semi-infinite intervals(-∞,a)and(b,∞)for a time-homogeneous diffusion process up to an independent exponential time eq for 0＜a＜b.The results are expressed in terms of solutions to the differential equations associated with the diffusion generator.Applying these results,we obtain explicit expressions on the Laplace transform of occupation time and joint occupation time for Brownian motion with drift.

外文关键词：

time-homogeneous diffusion processoccupation timejoint occupation timeLaplace transformBrownian motion with drift

作者：

LI Ying-qiu、CHEN Ye

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作者单位：

School 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

基金：

National Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaHunan Provincial National Natural Science Foundation of China

项目编号：

12271062117310122019JJ50405

出版年：

2024

DOI：

10.1007/s11766-024-3792-6

高校应用数学学报B辑(英文版)

浙江大学中国工业与应用数学学会

高校应用数学学报B辑(英文版)

影响因子：0.146

ISSN：1005-1031

年,卷(期)：2024.39(3)