Occupation times of spectrally negative Lévy processes with applications

DOI10.1016/j.spa.2011.07.008zbMath1227.60061arXiv1012.3448OpenAlexW1995376772MaRDI QIDQ719777

David Landriault, Jean-François Renaud, 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 timeruin theoryfluctuation theoryscale functionsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

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