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Occupation times of intervals until first passage times for spectrally negative Lévy processes

Ronnie L. Loeffen, Jean-François Renaud and Xiaowen Zhou

Stochastic Processes and their Applications, 2014, vol. 124, issue 3, 1408-1435

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; Fluctuation theory; Scale functions (search for similar items in EconPapers)
Date: 2014
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Handle: RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435