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arXiv · 1605.07709

Occupation times of intervals until last passage times for spectrally negative Levy processes

Bo Li·Chunhao Cai
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Abstract

In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an independent exponential variable are studied. By applying dual arguments, explicit formulas are derived in terms of new analytical identities from Loeffen et al. [12].

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Bo Li, Chunhao Cai. 2016-09-22. Occupation times of intervals until last passage times for spectrally negative Levy processes. https://doi.org/10.1007/s10959-017-0782-0

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