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

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Abstract

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.

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Authors and Affiliations

  1. LCSM, Ministry of Education, School of Mathematics and Statistics, Hunan Normal University, Changsha, 410081, China

    Yingchun Deng, Xuan Huang & Jieming Zhou

  2. School of Business, Hunan Normal University, Changsha, 410081, China

    Ya Huang

  3. College of Mathematics and Computational Science, Hunan University of Arts and Science, Changde, 415000, China

    Xuyan Xiang

  4. Hunan Province Cooperative Innovation Center for the Construction and Development of Dongting Lake Ecological Economic Zone, Changde, 415000, China

    Xuyan Xiang

Authors
  1. Yingchun Deng
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  2. Xuan Huang
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  3. Ya Huang
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  4. Xuyan Xiang
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  5. Jieming Zhou
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Corresponding author

Correspondence to Jieming Zhou.

Additional information

This work is partially supported by the National Natural Science Foundation of China (Nos. 71701068, 11701175, 11671132), the Natural Science Foundation of Hunan Province, China (No. 2018JJ3360), the Scientific Research Fund of Hunan Provincial Education Department, China (Nos. 19B343, 19A342, 17C1001, 17K057), and the Applied Economics of Hunan Province.

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Deng, Y., Huang, X., Huang, Y. et al. n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes. Indian J Pure Appl Math 51, 345–360 (2020). https://doi.org/10.1007/s13226-020-0404-x

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  • DOI: https://doi.org/10.1007/s13226-020-0404-x

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