Journal Title
Title of Journal: Front Math China
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Abbravation: Frontiers of Mathematics in China
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Publisher
Higher Education Press
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Authors: Yingqiu Li Suxin Wang Xiaowen Zhou Na Zhu
Publish Date: 2014/07/28
Volume: 9, Issue: 4, Pages: 843-861
Abstract
Using the approach of D Landriault et al and B Li and X Zhou for a onedimensional timehomogeneous diffusion process X and constants c a b d we find expressions of double Laplace transforms of the form mathbbE x e theta T d lambda int 0T d 1 a X s b ds T d T c where T x denotes the first passage time of level x As applications we find explicit Laplace transforms of the corresponding occupation time and occupation density for the Brownian motion with twovalued drift and that of occupation time for the skew OrnsteinUhlenbeck process respectively Some known results are also recovered
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