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Occupation times of refracted double exponential jump diffusion processes

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  • Zhou, Jiang
  • Wu, Lan

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.

Suggested Citation

  • Zhou, Jiang & Wu, Lan, 2015. "Occupation times of refracted double exponential jump diffusion processes," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 218-227.
    • Handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:218-227
    DOI: 10.1016/j.spl.2015.07.023
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    References listed on IDEAS

    as
    1. Zhou, Jiang & Wu, Lan, 2015. "The time of deducting fees for variable annuities under the state-dependent fee structure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 125-134.
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