n -Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes

Xuebing Kuang and Xiaowen Zhou
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Xuebing Kuang: School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 4100114, China
Xiaowen Zhou: Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd. West, Montreal, QC H3G 1M8, Canada

Risks, 2017, vol. 5, issue 1, 1-14

Abstract: Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two.

Keywords: spectrally negative Lévy process; occupation time; scale function (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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