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Occupation times for spectrally negative Lévy processes on the last exit time

Yingqiu Li, Yushao Wei and Zhaohui Peng

Statistics & Probability Letters, 2021, vol. 175, issue C

Abstract: In this paper, adopting the Poisson approach and the perturbation approach for spectrally negative Lévy processes (often abbreviated as SNLP), we consider some joint Laplace transforms of the last exit time from two semi-infinite interval, the value of the process, and the associated occupation time. Motivated by Li and Cai (2018), Li et al. (2017), Our results can recover some previous results when taking the limit to infinity in our results.

Keywords: Spectrally negative Lévy process; Last exit time; Occupation time; Poisson approach; Perturbation approach (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109111

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