Occupation times of spectrally negative Lévy processes with applications

David Landriault, Jean-François Renaud and Xiaowen Zhou

Stochastic Processes and their Applications, 2011, vol. 121, issue 11, 2629-2641

Abstract: In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.

Keywords: Occupation; time; Spectrally; negative; Levy; processes; Fluctuation; theory; Scale; functions; Ruin; theory (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (44)

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