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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).
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
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874827
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