On pre-exit joint occupation times for spectrally negative Lévy processes

We adopt a new approach to find Laplace transforms of joint occupation times over disjoint intervals for spectrally negative Lévy processes. The Laplace transforms are expressed in terms of scale functions.

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Year of publication:	2014
Authors:	Li, Yingqiu ; Zhou, Xiaowen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 48-55
Publisher:	Elsevier
Subject:	Spectrally negative Lévy process \| Joint occupation time \| Exit time \| Laplace transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930578