Occupation times of spectrally negative L\'evy processes with applications
Probability
2011-05-05 v3
Abstract
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative L\'evy 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 L\'evy process and its Laplace exponent. Applications to insurance risk models are also presented.
Keywords
Cite
@article{arxiv.1012.3448,
title = {Occupation times of spectrally negative L\'evy processes with applications},
author = {David Landriault and Jean-François Renaud and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1012.3448},
year = {2011}
}
Comments
corrections in the proof of Theorem 1