Occupation times of spectrally negative Lévy processes with applications

Landriault, David; Renaud, Jean-François et Zhou, Xiaowen (2011). « Occupation times of spectrally negative Lévy processes with applications ». Stochastic Processes and their Applications, 121(11), pp. 2629-2641.

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Résumé

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.

Type:	Article de revue scientifique
Mots-clés ou Sujets:	Occupation time, spectrally negative Lévy processes, fluctuation theory, scale functions, ruin theory.
Unité d'appartenance:	Faculté des sciences > Département de mathématiques
Déposé par:	Jean-François Renaud
Date de dépôt:	22 avr. 2016 14:49
Dernière modification:	27 avr. 2016 19:27
Adresse URL :	http://archipel.uqam.ca/id/eprint/8253

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