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.
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freely available