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math.PR2016★ 13 cited
Occupation times of intervals until last passage times for spectrally negative Levy processes
Bo Li, Chunhao Cai
In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an…
math.PR2016★ 8 cited
Fluctuations of Omega-killed spectrally negative Lévy processes
Bo Li, Zbigniew Palmowski
In this paper we solve the exit problems for (reflected) spectrally negative Lévy processes, which are exponentially killed with a killing intensity dependent on the present state…