کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527395 958843 2014 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Occupation times of intervals until first passage times for spectrally negative Lévy processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Occupation times of intervals until first passage times for spectrally negative Lévy processes
چکیده انگلیسی
In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 3, March 2014, Pages 1408-1435
نویسندگان
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