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2011
- handle: 10670/1.lsrwq4
- Landriault, David; Renaud, Jean-François et Zhou, Xiaowen (2011). « Occupation times of spectrally negative Lévy processes with applications ». Stochastic Processes and their Applications, 121(11), pp. 2629-2641.
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http://archipel.uqam.ca/8253/
Ce document est lié à :
http://dx.doi.org/10.1016/j.spa
Ce document est lié à :
doi:10.1016/j.spa.2011.07.008
Mots-clés
Occupation time spectrally negative Lévy processes fluctuation theory scale functions ruin theory.Sujets proches
Analysis (Mathematics)Citer ce document
David Landriault et al., « Occupation times of spectrally negative Lévy processes with applications », UQAM Archipel : articles scientifiques, ID : 10670/1.lsrwq4
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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.