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

DOI10.1007/s10959-017-0782-0zbMath1434.60128arXiv1605.07709OpenAlexW3098607796MaRDI QIDQ1800500

Bo Li, Chunhao Cai

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

zbMATH Keywords

Laplace transformoccupation timesscale functionsrisk theoryspectrally negative Lévy processlast passage times

Mathematics Subject Classification ID

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)

Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time ⋮ Joint distributions concerning last exit time for diffusion processes ⋮ Bridging the first and last passage times for Lévy models ⋮ Occupation times of alternating renewal processes with Lévy applications ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Occupation times for spectrally negative Lévy processes on the last exit time

Cites Work

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• The Joint Laplace Transforms for Diffusion Occupation Times

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