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Occupation times of spectrally negative Lévy processes with applications

Title:

Occupation times of spectrally negative Lévy processes with applications

Landriault, David, Renaud, Jean-François and Zhou, Xiaowen (2011) Occupation times of spectrally negative Lévy processes with applications. Stochastic Processes and their Applications, 121 (11). pp. 2629-2641. ISSN 03044149

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Official URL: http://dx.doi.org/10.1016/j.spa.2011.07.008

Abstract

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy 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 Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Article
Refereed:Yes
Authors:Landriault, David and Renaud, Jean-François and Zhou, Xiaowen
Journal or Publication:Stochastic Processes and their Applications
Date:2011
Digital Object Identifier (DOI):10.1016/j.spa.2011.07.008
Keywords:Occupation time; Spectrally negative Lévy processes; Fluctuation theory; Scale functions; Ruin theory
ID Code:976831
Deposited By: Danielle Dennie
Deposited On:29 Jan 2013 14:43
Last Modified:18 Jan 2018 17:43

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