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Occupation times of general L'evy processes | | Lan Wu
; Jiang Zhou
; Shuang Yu
; | | Date: |
1 Apr 2016 | | Abstract: | For an arbitrary L’evy process $X$ which is not a compound Poisson process,
we are interested in its occupation times. We use a quite novel and useful
approach to derive formulas for the Laplace transform of the joint distribution
of $X$ and its occupation times. Our formulas are compact, and more
importantly, the forms of the formulas clearly demonstrate the essential
quantities for the calculation of occupation times of $X$. It is believed that
our results are important not only for the study of stochastic processes, but
also for financial applications. | | Source: | arXiv, 1604.0097 | | Services: | Forum | Review | PDF | Favorites | |
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