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Risks 2017, 5(1), 8; doi:10.3390/risks5010008

n-Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes

1
School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 4100114, China
2
Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd. West, Montreal, QC H3G 1M8, Canada
*
Author to whom correspondence should be addressed.
Academic Editor: Qihe Tang
Received: 30 November 2016 / Revised: 3 January 2017 / Accepted: 17 January 2017 / Published: 29 January 2017
View Full-Text   |   Download PDF [372 KB, uploaded 29 January 2017]

Abstract

Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two. View Full-Text
Keywords: spectrally negative Lévy process; occupation time; scale function spectrally negative Lévy process; occupation time; scale function
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Kuang, X.; Zhou, X. n-Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes. Risks 2017, 5, 8.

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