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Distribution of the occupation time for a Lévy process at passage times at 0

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  • Marchal, Philippe

Abstract

Let be a real-valued Lévy process and the time spent on before time . Suppose that 0 is not polar. We determine the distribution of where is the first return time to 0 in the irregular case, and the inverse local time at 0 in the regular case. This generalizes a recent result of Fitzsimmons and Getoor (1995).

Suggested Citation

  • Marchal, Philippe, 1998. "Distribution of the occupation time for a Lévy process at passage times at 0," Stochastic Processes and their Applications, Elsevier, vol. 74(1), pages 123-131, May.
    • Handle: RePEc:eee:spapps:v:74:y:1998:i:1:p:123-131
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    References listed on IDEAS

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    1. Fitzsimmons, P. J. & Getoor, R. K., 1995. "Occupation time distributions for Lévy bridges and excursions," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 73-89, July.
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