Distribution of the occupation time for a Lévy process at passage times at 0

Let be a real-valued Lévy process and the time spent on before time . Suppose that 0 is not polar. We determine the distribution of where is the first return time to 0 in the irregular case, and the inverse local time at 0 in the regular case. This generalizes a recent result of Fitzsimmons and Getoor (1995).

MoreLess

Year of publication:	1998
Authors:	Marchal, Philippe
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 74.1998, 1, p. 123-131
Publisher:	Elsevier
Keywords:	Lévy process Occupation time Uniform distribution

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874827