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Occupation times of spectrally negative L\'evy processes with applications
- Publication Year :
- 2010
-
Abstract
- In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative L\'evy 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 L\'evy process and its Laplace exponent. Applications to insurance risk models are also presented.<br />Comment: corrections in the proof of Theorem 1
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1012.3448
- Document Type :
- Working Paper