Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s10986-023-09605-z.pdf
Reference20 articles.
1. E.J. Baurdoux, Last exit before an exponential time for spectrally negative Lévy processes, J. Appl. Probab., 462(2): 542–588, 2009.
2. J. Bertoin, Lévy Processes, Camb. Tracts Math., Vol. 121, Cambridge Univ. Press, Cambridge, 1996.
3. N. Cai, N. Chen, and X. Wan, Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options, Math. Oper. Res., 35(2):412–437, 2010.
4. L. Chaumont, A.E. Kyprianou, and J.C. Pardo, Some explicit identities associated with positive self-similar Markov processes, Stochastic Processes Appl., 119(3):980–1000, 2009.
5. S.N. Chiu and C. Yin, On occupation times for a risk process with reserve-dependent premium, Stoch.Models, 18(2): 245–255, 2002.
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