Title of article :
Occupation times of intervals until first passage times for spectrally negative Lévy processes
Author/Authors :
Loeffen، نويسنده , , Ronnie L. and Renaud، نويسنده , , Jean-François and Zhou، نويسنده , , Xiaowen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
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.
Keywords :
Occupation times , Spectrally negative Lévy processes , Scale functions , Fluctuation theory
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications