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Occupation times of spectrally negative Lévy processes with applications
Authors:David Landriault  Xiaowen Zhou
Institution:
  • a Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo (Ontario) N2L 3G1, Canada
  • b Département de mathématiques, Université du Québec à Montréal (UQAM), 201 av. Président-Kennedy, Montréal (Québec) H2X 3Y7, Canada
  • c Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd W., Montréal (Québec) H3G 1M8, Canada
  • Abstract: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 functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.
    Keywords:Occupation time  Spectrally negative Lé  vy processes  Fluctuation theory  Scale functions  Ruin theory
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