Occupation times of intervals until first passage times for spectrally negative Lévy processes

Loeffen, Ronnie L.; Renaud, Jean-François et Zhou, Xiaowen (2014). « Occupation times of intervals until first passage times for spectrally negative Lévy processes ». Stochastic Processes and their Applications, 124(3), pp. 1408-1435.

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Résumé

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.

Type:	Article de revue scientifique
Mots-clés ou Sujets:	Occupation times; Spectrally negative Lévy processes; Fluctuation theory; Scale functions
Unité d'appartenance:	Faculté des sciences > Département de mathématiques
Déposé par:	Jean-François Renaud
Date de dépôt:	22 avr. 2016 14:51
Dernière modification:	27 avr. 2016 19:27
Adresse URL :	http://archipel.uqam.ca/id/eprint/8257

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Statistiques