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arXiv · 1705.01289

Local times for spectrally negative Lévy processes

Bo Li·Xiaowen Zhou
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Abstract

For spectrally negative Lévy processes, adapting an approach from \cite{BoLi:sub1} we identify joint Laplace transforms involving local times evaluated at either the first passage times, or independent exponential times, or inverse local times. The Laplace transforms are expressed in terms of the associated scale functions. Connections are made with the permanental process and the Markovian loop soup measure.

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Bo Li, Xiaowen Zhou. 2019-01-11. Local times for spectrally negative Lévy processes. https://doi.org/10.1007/s11118-018-09756-6

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