The local time of the classical risk process

MaRDI QIDQ3551255zbMATH OpenFDO

Authors

Publication date 15 April 2010

Full work available at URL https://arxiv.org/abs/0801.2106, http://www.m-hikari.com/imf-password2009/37-40-2009/index.html

zbMATH Keywords

classical risk processcrossing processlocal timeoccupation measureTanaka-like formula

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Abstract: In this paper we give an explicit expression for the local time of the classical risk process and associate it with the density of an occupational measure. To do so, we approximate the local time by a suitable sequence of absolutely continuous random fields. Also, as an application, we analyze the mean of the times $sin[0,T]$ such that $0leq{X}_{s}leq{X}_{s+epsilon}$ for some given $epsilon>0$.

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(2)

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