Occupation times for spectrally negative Levy processes on the last exit time

被引：1

作者：

Li, Yingqiu ^{[1
]}

Wei, Yushao ^{[1
]}

Peng, Zhaohui ^{[1
]}

机构：

[1] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2021年 / 175卷

基金：

中国国家自然科学基金;

关键词：

Spectrally negative Levy process; Last exit time; Occupation time; Poisson approach; Perturbation approach; PASSAGE TIMES; SURPLUS; REACH;

D O I：

10.1016/j.spl.2021.109111

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, adopting the Poisson approach and the perturbation approach for spectrally negative Levy processes (often abbreviated as SNLP), we consider some joint Laplace transforms of the last exit time from two semi-infinite interval, the value of the process, and the associated occupation time. Motivated by Li and Cai (2018), Li et al. (2017), Our results can recover some previous results when taking the limit to infinity in our results. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：10

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