n-dimensional Laplace transforms of occupation times for spectrally negative Lévy processes
Xuebing Kuang and Xiaowen Zhou
| Year of publication: |
March 2017
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|---|---|
| Authors: | Kuang, Xuebing ; Zhou, Xiaowen |
| Subject: | spectrally negative Lévy process | occupation time | scale function | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Description of contents: |
Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two.
|
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3390/risks5010008 [DOI] hdl:10419/167908 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011636384