2 papers
q-fin.RM2019
On occupation times in the red of Lévy risk models
David Landriault, Bin Li, Mohamed Amine Lkabous
In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level ) up to an (independent) exponential horizon for spectrally ne…
math.PR2010
Occupation times of spectrally negative Lévy processes with applications
David Landriault, Jean-François Renaud, Xiaowen Zhou
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results f…