A Joint Laplace Transform for Pre-exit Diffusion of Occupation Times

(整期优先)网络出版时间:2017-04-14
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Fora〈r〈b,theapproachofLiandZhou(2014)isadoptedtofindjointLaplacetransformsofoccupationtimesoverintervals(a,r)and(r,b)foratimehomogeneousdiffusionprocessbeforeitfirstexitsfromeitheraorb.Theresultsareexpressedintermsofsolutionstothedifferentialequationsassociatedwiththediffusionsgenerator.Applyingtheseresults,weobtainmoreexplicitex-pressionsonthejointLaplacetransformsofoccupationtimesforBrownianmotionwithdrift,BrownianmotionwithalternatingdriftandskewBrownianmotion,respectively.