Distribution of the occupation time for a Lévy process at passage times at 0

Philippe Marchal

Stochastic Processes and their Applications, 1998, vol. 74, issue 1, 123-131

Abstract: Let be a real-valued Lévy process and the time spent on before time . Suppose that 0 is not polar. We determine the distribution of where is the first return time to 0 in the irregular case, and the inverse local time at 0 in the regular case. This generalizes a recent result of Fitzsimmons and Getoor (1995).

Keywords: Lévy; process; Occupation; time; Uniform; distribution (search for similar items in EconPapers)
Date: 1998
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