An occupation time related potential measure for diffusion processes
An occupation time related potential measure for diffusion processes作者机构：Hunan Province Cooperative Innovation Center for the Construction and Development of Dongting Lake Ecological Economic Zone and College of Mathematics and Computational Science Hunan University of Arts and Science Changde 415000 China School of Mathematics and Statistics Changsha University of Science and TechnologyChangsha 410114 China Department of Mathematics and Statistics Concordia UniversityMontreal Quebec H3G IMS Canada
出 版 物：《Frontiers of Mathematics in China》 (中国高等学校学术文摘·数学（英文）)
年 卷 期：2017年第12卷第3期
页 面：559-582页
核心收录：
学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 08[工学] 0701[理学-数学]
基 金：国家自然科学基金 湖南省自然科学基金 the Scientific Research Project of Hunan University of Arts and Science the Project Sponsored by the Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry (2015)
主 题：Laplace transform occupation time potential measure exit time,time-homogeneous diffusion Brownian motion with two-valued drift skew Brownian motion
摘 要：In this paper, for homogeneous diffusion processes, the approach of Y. Li and X. Zhou [Statist. Probab. Lett., 2014, 94： 48-55] is adopted to find expressions of potential measures that are discounted by their joint occupation times over semi-infinite intervals （-∞, a） and （a, ∞）. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions for Brownian motion with drift, skew Brownian motion, and Brownian motion with two-valued drift, respectively.
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