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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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Citations: View citations in EconPapers (15)

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DOI: 10.1016/j.spl.2014.06.023

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