The Joint Laplace Transforms for Diffusion Occupation Times

Bin Li · Xiaowen Zhou

40 citations0/0 files storedAdvances in Applied Probability

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

Abstract

In this paper we adopt the perturbation approach of Landriault, Renaud and Zhou (2011) to find expressions for the joint Laplace transforms of occupation times for time-homogeneous diffusion processes. The expressions are in terms of solutions to the associated differential equations. These Laplace transforms are applied to study ruin-related problems for several classes of diffusion risk processes.

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1996Handbook of Brownian Motion — Facts and Formulae 2006Stochastic Differential Equations 2002Handbook of Brownian Motion - Facts and Formulae 1972Stochastic Differential Equations 1997Controlled diffusion models for optimal dividend pay-out 1969Diffusion processes with continuous coefficients, I 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes 2011Randomized observation periods for the compound Poisson risk model: Dividends

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