Occupation times of intervals until last passage times for spectrally negative Lévy processes
Publication:1800500
DOI10.1007/s10959-017-0782-0zbMath1434.60128arXiv1605.07709OpenAlexW3098607796MaRDI QIDQ1800500
Publication date: 24 October 2018
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.07709
Laplace transformoccupation timesscale functionsrisk theoryspectrally negative Lévy processlast passage times
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Local time and additive functionals (60J55) Actuarial mathematics (91G05) Jump processes on general state spaces (60J76)
Related Items (6)
Cites Work
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