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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Xuebing Kuang & Xiaowen Zhou, 2017. "n -Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-14, January.
  • Handle: RePEc:gam:jrisks:v:5:y:2017:i:1:p:8-:d:88878
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    References listed on IDEAS

    as
    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)

    More about this item

    Keywords

    spectrally negative Lévy process; occupation time; scale function;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
    • K2 - Law and Economics - - Regulation and Business Law

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