Landriault, David; Renaud, Jean-François; Zhou, Xiaowen - In: Stochastic Processes and their Applications 121 (2011) 11, pp. 2629-2641
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale...