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.
Citation
Bin Li. Xiaowen Zhou. "The joint Laplace transforms for diffusion occupation times." Adv. in Appl. Probab. 45 (4) 1049 - 1067, December 2013. https://doi.org/10.1239/aap/1386857857
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