n-dimensional Laplace transforms of occupation times for spectrally negative Lévy processes

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.

MoreLess

Year of publication:	2017
Authors:	Kuang, Xuebing ; Zhou, Xiaowen
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 5.2017, 1, p. 1-14
Publisher:	Basel : MDPI
Subject:	spectrally negative Lévy process \| occupation time \| scale function

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks5010008 [DOI] 884743276 [GVK] hdl:10419/167908 [Handle]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011709579