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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