Occupation times of intervals until first passage times for spectrally negative Lévy processes
Ronnie L. Loeffen,
Jean-François Renaud and
Stochastic Processes and their Applications, 2014, vol. 124, issue 3, 1408-1435
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; Fluctuation theory; Scale functions (search for similar items in EconPapers)
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