Occupation times for spectrally negative Lévy processes on the last exit time

DOI10.1016/J.SPL.2021.109111MaRDI QIDQ2244451zbMATH OpenOpenAlexFDO

Authors Yushao Wei, Zhao-Hui Peng, Yingqiu Li

Publication date 12 November 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2021.109111

zbMATH Keywords

last exit timeoccupation timeperturbation approachPoisson approachspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Local time and additive functionals (60J55)

Recommendations

• Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time
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• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Poissonian occupation times of spectrally negative Lévy processes with applications
• On weighted occupation times for refracted spectrally negative Lévy processes
• Moments of last exit times for Lévy processes

Cites work

• Exit identities for diffusion processes observed at Poisson arrival times
• Fluctuations of Lévy processes with applications. Introductory lectures
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• Occupation times for Markov-modulated Brownian motion
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Occupation times of intervals until last passage times for spectrally negative Lévy processes
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• Occupation times of spectrally negative Lévy processes with applications
• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the last exit times for spectrally negative Lévy processes
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• The theory of scale functions for spectrally negative Lévy processes
• When does the surplus reach a given target?

Cited in

(8)

• On weighted occupation times for refracted spectrally negative Lévy processes
• Occupation times of intervals until last passage times for spectrally negative Lévy processes
• Local times for spectrally negative Lévy processes
• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the last exit times for spectrally negative Lévy processes
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time
• Predicting the last zero before an exponential time of a spectrally negative Lévy process

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