Local Times for Spectrally Negative Levy Processes

被引：4
|
作者：
Li, Bo [1 ]
Zhou, Xiaowen [2 ]
机构：
[1] Nankai Univ, Sch Math & LPMC, Tianjin, Peoples R China
[2] Concordia Univ, Dept Math & Stat, Montreal, PQ, Canada
来源：
POTENTIAL ANALYSIS | 2020年 / 52卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Spectrally negative Levy process; Local time; Inverse local time; Weighted occupation time; Permanental process; Markovian loop soup measure; OCCUPATION TIMES; SCALE FUNCTIONS;
D O I：
10.1007/s11118-018-09756-6
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
For spectrally negative Levy processes, adapting an approach from Li and Palmowski (Stoch. Process. Appl. 128(10), 3273-3299 2018) we identify joint Laplace transforms involving local times evaluated at either the first passage times, or independent exponential times, or inverse local times. The Laplace transforms are expressed in terms of the associated scale functions. Connections are made with the permanental process and the Markovian loop soup measure.
引用
收藏
页码：689 / 711
页数：23
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