Occupation times of spectrally negative Lévy processes with applications

DOI10.1016/j.spa.2011.07.008zbMath1227.60061arXiv1012.3448MaRDI QIDQ719777

Jean-François Renaud, David Landriault, Xiao-Wen Zhou

Publication date: 11 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.3448

zbMATH Keywords

occupation time; ruin theory; fluctuation theory; scale functions; spectrally negative Lévy processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60E10: Characteristic functions; other transforms

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