On pre-exit joint occupation times for spectrally negative Lévy processes

DOI10.1016/j.spl.2014.06.023zbMath1315.60049OpenAlexW1980528359MaRDI QIDQ466993

Ying-qiu Li, Xiao-Wen Zhou

Publication date: 3 November 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.06.023

zbMATH Keywords

Laplace transformexit timejoint occupation timespectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites Work

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• Occupation times of refracted Lévy processes
• Occupation times of spectrally negative Lévy processes with applications
• Problem of destruction and resolvent of a terminating process with independent increments
• Regularity of the half-line for Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options

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