Occupation times of intervals until first passage times for spectrally negative Lévy processes

By Ronnie Loeffen, Jean-François Renaud, Xiaowen Zhou. 2012

140 citations recorded by the source corpus.

In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Levy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6fdda7018f18b34dc5d93892fe174546d8f00dfd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Xiaowen Zhou
2. Hansjörg Albrecher *
3. Bin Li
4. Jevgenijs Ivanovs
5. Andreas E. Kyprianou
6. Ronnie Loeffen
7. Chuancun Yin
8. Zbigniew Palmowski

In Finance

1. Xiaowen Zhou
2. Bin Li
3. Hansjörg Albrecher *
4. Jevgenijs Ivanovs
5. Andreas E. Kyprianou

In Management Science and Operations Research

1. Xiaowen Zhou
2. Bin Li
3. Hansjörg Albrecher *
4. Jevgenijs Ivanovs
5. Andreas E. Kyprianou
6. Ronnie Loeffen
7. Qihe Tang
8. Zbigniew Palmowski

Citations in the corpus

• The Joint Laplace Transforms for Diffusion Occupation Times (2013, background): “More recently, Laplace transforms have also been obtained for occupation times of processes with jumps; see [7], [9], [14], [15], [17], [23], and [24] for results along this line and their applications in risk theory and finance.”
• Exit identities for L\'evy processes observed at Poisson arrival times (2014, background): “The following result generalizes the second part of [19], Equation (6): Lemma 4.”