Occupation Times of Intervals Until Last Passage Times for Spectrally Negative Lévy Processes

Chunhao Cai () and Bo Li ()
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Chunhao Cai: Nankai University
Bo Li: Nankai University

Journal of Theoretical Probability, 2018, vol. 31, issue 4, 2194-2215

Abstract: Abstract In this paper, we derive the Laplace transform of occupation times of intervals until last passage times for spectrally negative Lévy processes. Motivated by [2], the last passage times before an independent exponential variable are investigated. By a dual argument, explicit formulas are obtained and expressed as a modified version of the analytical identities introduced in Loeffen et al. [13]. As an application, a corridor option and an Omega risk model are studied here.

Keywords: Occupation times; Spectrally negative Lévy process; Last passage times; Scale functions; 60G51; 60J55 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10959-017-0782-0

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