Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154359 | Statistics & Probability Letters | 2015 | 10 Pages |
Abstract
Motivated by our previous research, we investigate the problem of computing the occupation times of a refracted double exponential jump diffusion process. For such a process, we derive formulas for the Laplace transform of its occupation times.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jiang Zhou, Lan Wu,