On pre-exit joint occupation times for spectrally negative Lévy processes
Yingqiu Li and
Xiaowen Zhou
Statistics & Probability Letters, 2014, vol. 94, issue C, 48-55
Abstract:
We adopt a new approach to find Laplace transforms of joint occupation times over disjoint intervals for spectrally negative Lévy processes. The Laplace transforms are expressed in terms of scale functions.
Keywords: Spectrally negative Lévy process; Joint occupation time; Exit time; Laplace transform (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:94:y:2014:i:c:p:48-55
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DOI: 10.1016/j.spl.2014.06.023
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