Occupation times of intervals until first passage times for spectrally negative Lévy processes

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.

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Year of publication:	2014
Authors:	Loeffen, Ronnie L. ; Renaud, Jean-François ; Zhou, Xiaowen
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 3, p. 1408-1435
Publisher:	Elsevier
Subject:	Occupation times \| Spectrally negative Lévy processes \| Fluctuation theory \| Scale functions

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

Persistent link: https://www.econbiz.de/10010738253