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Occupation times of spectrally negative Lévy processes with applications
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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.
Details
- Database :
- OAIster
- Notes :
- application/pdf, English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.on1056491578
- Document Type :
- Electronic Resource