IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • Xuebing Kuang

    ()

    (School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 4100114, China)

  • Xiaowen Zhou

    ()

    (Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd. West, Montreal, QC H3G 1M8, Canada)

Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.mdpi.com/2227-9091/5/1/8/pdf
    Download Restriction: no

    File URL: http://www.mdpi.com/2227-9091/5/1/8/
    Download Restriction: no

    Article provided by MDPI, Open Access Journal in its journal Risks.

    Volume (Year): 5 (2017)
    Issue (Month): 1 (January)
    Pages: 1-14

    as
    in new window

    Handle: RePEc:gam:jrisks:v:5:y:2017:i:1:p:8-:d:88878
    Contact details of provider: Web page: http://www.mdpi.com/

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Li, Yingqiu & Zhou, Xiaowen, 2014. "On pre-exit joint occupation times for spectrally negative Lévy processes," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 48-55.
    2. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
    3. Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011. "Occupation times of spectrally negative Lévy processes with applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November.
    4. Ning Cai & Nan Chen & Xiangwei Wan, 2010. "Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 412-437, May.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:5:y:2017:i:1:p:8-:d:88878. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (XML Conversion Team)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.