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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Loeffen, Ronnie L.¹  Renaud, Jean-Francois²  Zhou, Xiaowen³ 

[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

[2] Univ Quebec Montreal UQAM, Dept Math, Montreal, PQ H2X 3Y7, Canada

[3] Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada

关键词: Occupation times;    Spectrally negative Levy processes;    Fluctuation theory;    Scale functions;   

DOI  :  10.1016/j.spa.2013.11.005

来源: Elsevier

【 摘 要 】

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Levy 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. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free