Occupation times of intervals until first passage times for spectrally negative Lévy processes

Ronnie L. Loeffen; Jean-François Renaud; Xiaowen Zhou

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arXiv · 1207.1592

Occupation times of intervals until first passage times for spectrally negative Lévy processes

Ronnie L. Loeffen·Jean-François Renaud·Xiaowen Zhou

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Abstract

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.

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Ronnie L. Loeffen, Jean-François Renaud, Xiaowen Zhou. 2012-07-06. Occupation times of intervals until first passage times for spectrally negative Lévy processes. https://arxiv.org/abs/1207.1592

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