{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,7]],"date-time":"2026-04-07T02:06:41Z","timestamp":1775527601928,"version":"3.50.1"},"reference-count":28,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2025,9,30]],"date-time":"2025-09-30T00:00:00Z","timestamp":1759190400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["cambridge.org"],"crossmark-restriction":true},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2026,3]]},"abstract":"<jats:title>Abstract<\/jats:title>\n                  <jats:p>\n                    We establish a novel duality relationship between continuous\/discrete non-negative non-decreasing functionals of stochastic (not necessarily Markovian) processes and their right inverses, and further discuss its applications. For general Markov processes, we develop a theoretical and computational framework for the transform analysis via an operator-based approach, i.e. through the infinitesimal generators. More precisely, we characterize the\n                    <jats:italic>joint<\/jats:italic>\n                    double transforms of additive functionals of Markov processes and the terminal values in continuous\/discrete time. Under the continuous-time Markov chain (CTMC) setting, we obtain\n                    <jats:italic>single<\/jats:italic>\n                    Laplace transforms for continuous\/discrete additive functionals and their inverses. We apply the proposed transform methodology to computing option prices related to the occupation time of the underlying asset price process.\n                  <\/jats:p>","DOI":"10.1017\/jpr.2025.10031","type":"journal-article","created":{"date-parts":[[2025,9,30]],"date-time":"2025-09-30T06:29:42Z","timestamp":1759213782000},"page":"348-374","update-policy":"https:\/\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":0,"title":["Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications"],"prefix":"10.1017","volume":"63","author":[{"given":"Zhenyu","family":"Cui","sequence":"first","affiliation":[{"name":"Stevens Institute of Technology"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5448-2787","authenticated-orcid":false,"given":"Chihoon","family":"Lee","sequence":"additional","affiliation":[{"name":"Stevens Institute of Technology"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yanchu","family":"Liu","sequence":"additional","affiliation":[{"name":"Sun Yat-sen University"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Lingjiong","family":"Zhu","sequence":"additional","affiliation":[{"name":"Florida State University"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2025,9,30]]},"reference":[{"key":"S0021900225100314_ref10","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2017.1640"},{"key":"S0021900225100314_ref28","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1409932668"},{"key":"S0021900225100314_ref25","volume-title":"Analytical Methods for Markov Semigroups","volume":"283","author":"Lorenzi","year":"2007"},{"key":"S0021900225100314_ref27","doi-asserted-by":"publisher","DOI":"10.1137\/S0040585X97980427"},{"key":"S0021900225100314_ref1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2015.1066694"},{"key":"S0021900225100314_ref14","first-page":"634","article-title":"Corridor options and arc-sine law","author":"Fusai","year":"2000","journal-title":"Ann. Appl. Prob."},{"key":"S0021900225100314_ref18","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00108"},{"key":"S0021900225100314_ref2","doi-asserted-by":"publisher","DOI":"10.1287\/moor.1100.0447"},{"key":"S0021900225100314_ref4","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1080\/14697680903397667","article-title":"An improved convolution algorithm for discretely sampled Asian options","volume":"11","author":"\u010cern&ygrave;","year":"2011","journal-title":"Quantitative Finance"},{"key":"S0021900225100314_ref6","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-012-0188-x"},{"key":"S0021900225100314_ref26","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2018.04.016"},{"key":"S0021900225100314_ref17","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2001.059"},{"key":"S0021900225100314_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"S0021900225100314_ref23","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1386857857"},{"key":"S0021900225100314_ref21","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-37632-0"},{"key":"S0021900225100314_ref24","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00063"},{"key":"S0021900225100314_ref22","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2011.07.008"},{"key":"S0021900225100314_ref8","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1316792671"},{"key":"S0021900225100314_ref20","volume-title":"Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics 113)","author":"Karatzas","year":"1991"},{"key":"S0021900225100314_ref9","doi-asserted-by":"publisher","DOI":"10.1214\/ECP.v18-2717"},{"key":"S0021900225100314_ref16","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.12.027"},{"key":"S0021900225100314_ref13","doi-asserted-by":"publisher","DOI":"10.1137\/080718061"},{"key":"S0021900225100314_ref19","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/58.1.83"},{"key":"S0021900225100314_ref12","doi-asserted-by":"publisher","DOI":"10.1137\/090771272"},{"key":"S0021900225100314_ref7","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-25498-8_6"},{"key":"S0021900225100314_ref3","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2015.1385"},{"key":"S0021900225100314_ref15","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2015.0739"},{"key":"S0021900225100314_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2018.07.017"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900225100314","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,7]],"date-time":"2026-04-07T01:25:49Z","timestamp":1775525149000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0021900225100314\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,9,30]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2026,3]]}},"alternative-id":["S0021900225100314"],"URL":"https:\/\/doi.org\/10.1017\/jpr.2025.10031","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2025,9,30]]},"assertion":[{"value":"\u00a9 The Author(s), 2025. Published by Cambridge University Press on behalf of Applied Probability Trust","name":"copyright","label":"Copyright","group":{"name":"copyright_and_licensing","label":"Copyright and Licensing"}}]}}