Occupation times of intervals until last passage times for spectrally negative Lévy processes (Q1800500)

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Occupation times of intervals until last passage times for spectrally negative Lévy processes
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    Occupation times of intervals until last passage times for spectrally negative Lévy processes (English)
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    24 October 2018
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    ``In this paper, (the authors) derive the Laplace transform of occupation times of intervals until last passage times for spectrally negative Lévy processes.'' They investigate the last passage times before an independent exponential variable. Questions of this kind are motivated by earlier work of \textit{E. J. Baurdoux} [J. Appl. Probab. 46, No. 2, 542--558 (2009; Zbl 1170.60020)]. ``By a dual argument, explicit formulas are obtained and expressed as a modified version of the analytical identities introduced in [\textit{R. L. Loeffen} et al., Stochastic Processes Appl. 124, No. 3, 1408--1435 (2014; Zbl 1287.60062)]. As an application (of the obtained results), a corridor option and an Omega risk model are studied.''
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    occupation times
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    spectrally negative Lévy process
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    last passage times
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    scale functions
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    Laplace transform
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    risk theory
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