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Local times for spectrally negative L��vy processes

Authors :
Li, Bo
Zhou, Xiaowen
Publication Year :
2017
Publisher :
arXiv, 2017.

Abstract

For spectrally negative L��vy 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 times. The Laplace transforms are expressed in terms of the associated scale functions. Connections are made with the permanental process and the Markovian loop soup measure.<br />23 pages

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........2fb9bf3c1770d5c056a6af63e3f279c9
Full Text :
https://doi.org/10.48550/arxiv.1705.01289