Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen - In: Stochastic Processes and their Applications 124 (2014) 3, pp. 1408-1435
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...
