Occupation times of Lévy-driven Ornstein–Uhlenbeck processes with two-sided exponential jumps and applications

Jiang Zhou, Lan Wu and Yang Bai

Statistics & Probability Letters, 2017, vol. 125, issue C, 80-90

Abstract: For an Ornstein–Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The approach used is new and can be extended to investigate the occupation times of an Ornstein–Uhlenbeck process driven by a more general Lévy process. Besides, some applications to price occupation–time options are presented.

Keywords: Ornstein–Uhlenbeck process; Occupation times; Exit problem (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.01.021

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