Occupation times of spectrally negative Lévy processes with applications

Details Occupation times of spectrally negative Lévy processes with applications Occupation times of spectrally negative Lévy processes with applications

2010-12-15

arxiv.org/abs/1012.3448v3

Mathematics

Probability

corrections in the proof of Theorem 1

Scientific paper

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative L\'evy 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 L\'evy process and its Laplace exponent. Applications to insurance risk models are also presented.

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