Occupation Times of Intervals Until Last Passage Times for Spectrally Negative Levy Processes

被引：9

作者：

Cai, Chunhao ^{[1
,2
]}

Li, Bo ^{[1
,2
]}

机构：

[1] Nankai Univ, Sch Math, Tianjin, Peoples R China

[2] Nankai Univ, LPMC, Tianjin, Peoples R China

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2018年 / 31卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Occupation times; Spectrally negative Levy process; Last passage times; Scale functions; EXIT;

D O I：

10.1007/s10959-017-0782-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we derive the Laplace transform of occupation times of intervals until last passage times for spectrally negative Levy processes. Motivated by [2], the last passage times before an independent exponential variable are investigated. By a dual argument, explicit formulas are obtained and expressed as a modified version of the analytical identities introduced in Loeffen et al. [13]. As an application, a corridor option and an Omega risk model are studied here.

引用

页码：2194 / 2215

页数：22

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