On explicit occupation time distributions for Brownian processes
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References listed on IDEAS
- Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
- Kalashnikov, Vladimir & Konstantinides, Dimitrios, 2000. "Ruin under interest force and subexponential claims: a simple treatment," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 145-149, August.
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- Makarov, R. & Metzler, A. & Ni, Z., 2015. "Modelling default risk with occupation times," Finance Research Letters, Elsevier, vol. 13(C), pages 54-65.
- Chi, Zhiyi & Pozdnyakov, Vladimir & Yan, Jun, 2015. "On expected occupation time of Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 83-87.
More about this item
KeywordsBrownian bridge Excursion Meander Occupation times Sojourn times;
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