TITLE

THE JOINT LAPLACE TRANSFORMS FOR DIFFUSION OCCUPATION TIMES

AUTHOR(S)
BIN LI; XIAOWEN ZHOU
PUB. DATE
December 2013
SOURCE
Advances in Applied Probability;Dec2013, Vol. 45 Issue 4, p1049
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
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.
ACCESSION #
94146155

 

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