Occupation times of intervals until first passage times for spectrally negative Lévy processes

Abstract

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.

27 pages

References in corpus (1)

• Occupation times of refracted Lévy processes

Cited by in corpus (1)

• On obtaining simple identities for overshoots of spectrally negative Lévy processes