Occupation times of Levy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications

被引：7
|
作者：
Zhou, Jiang [1 ]
Wu, Lan [1 ]
Bai, Yang [1 ]
机构：
[1] Peking Univ, Sch Math Sci, Beijing 100871, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2017年 / 125卷
关键词：
Ornstein-Uhlenbeck process; Occupation times; Exit problem; DIFFUSION-PROCESSES; EXIT TIMES;
D O I：
10.1016/j.spl.2017.01.021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
For an Ornstein-Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The approach used is new and can be extended to investigate the occupation times of an Ornstein-Uhlenbeck process driven by a more general Levy process. Besides, some applications to price occupation-time options are presented. (C) 2017 Elsevier B.V. All rights reserved.
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页码：80 / 90
页数：11
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