An occupation time related potential measure for diffusion processes

Abstract

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.

Keywords

Laplace transform / occupation time / potential measure / exit time / time-homogeneous diffusion / Brownian motion with two-valued drift / skew Brownian motion

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