相关论文: Occupation times of spectrally negative L\'evy pro…

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative L\'evy processes. New analytical identities for scale functions are derived and therefore the results are…

In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level $0$) up to an (independent) exponential horizon for spectrally negative L\'{e}vy risk processes and refracted spectrally…

For refracted spectrally negative L\'evy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique…

Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…

In this paper, we introduce the concept of \emph{Poissonian occupation times} below level $0$ of spectrally negative L\'evy processes. In this case, occupation time is accumulated only when the process is observed to be negative at arrival…

For an arbitrary L\'evy process $X$ which is not a compound Poisson process, we are interested in its occupation times. We use a quite novel and useful approach to derive formulas for the Laplace transform of the joint distribution of $X$…

For a spectrally negative L\'evy process $X$, we study the following distribution: $$ \mathbb{E}_x \left[ \mathrm{e}^{- q \int_0^t \mathbf{1}_{(a,b)} (X_s) \mathrm{d}s } ; X_t \in \mathrm{d}y \right], $$ where $-\infty \leq a < b < \infty$,…

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…

We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…

For spectrally negative L\'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find…

In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an independent exponential variable are studied. By applying…

In this paper we find the Laplace transforms of the weighted occupation times for a spectrally negative L\'evy surplus process to spend below its running maximum up to the first exit times. The results are expressed in terms of generalized…

We consider the occupation area of spherical (fractional) Brownian motion, i.e. the area where the process is positive, and show that it is uniformly distributed. For the proof, we introduce a new simple combinatorial view on occupation…

For a spectrally negative L\'evy process, scale functions appear in the solution of two-sided exit problems, and in particular in relation with the Laplace transform of the first time it exits a closed interval. In this paper, we consider…

This paper presents a set of results relating to the occupation time $\alpha(t)$ of a process $X(\cdot)$. The first set of results concerns exact characterizations of $\alpha(t)$ for $t\geq0$, e.g., in terms of its transform up to an…

For an Ornstein-Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The approach used is remarkable and can be extended to investigate…

We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace transform of its occupation times are deduced. To derive the…

In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…

For a skip-free Markov process on non-negative integers with generator matrix Q, we evaluate the joint Laplace transform of the occupation times before hitting the state n (starting at 0). This Laplace transform has a very straightforward…

In this paper we solve the exit problems for (reflected) spectrally negative L\'evy processes, which are exponentially killed with a killing intensity dependent on the present state of the process and analyze respective resolvents. All…