English

Local times for spectrally negative L\'evy processes

Probability 2019-01-14 v3

Abstract

For spectrally negative L\'evy processes, adapting an approach from \cite{BoLi:sub1} we identify joint Laplace transforms involving local times evaluated at either the first passage times, or independent exponential times, or inverse local times. The Laplace transforms are expressed in terms of the associated scale functions. Connections are made with the permanental process and the Markovian loop soup measure.

Keywords

Cite

@article{arxiv.1705.01289,
  title  = {Local times for spectrally negative L\'evy processes},
  author = {Bo Li and Xiaowen Zhou},
  journal= {arXiv preprint arXiv:1705.01289},
  year   = {2019}
}

Comments

23 pages

R2 v1 2026-06-22T19:35:16.445Z