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2018 Occupation time of Lévy processes with jumps rational Laplace transforms
Ait-Aoudia Djilali
Electron. Commun. Probab. 23: 1-13 (2018). DOI: 10.1214/18-ECP169

Abstract

We are interested in occupation times of Lévy processes with jumps rational Laplace transforms. The corresponding boundary value problems via the Feynman-Kac representation are solved to obtain an explicit formula for the joint distribution of the occupation time and the terminal value of the Lévy processes with jumps rational Laplace transforms.

Citation

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Ait-Aoudia Djilali. "Occupation time of Lévy processes with jumps rational Laplace transforms." Electron. Commun. Probab. 23 1 - 13, 2018. https://doi.org/10.1214/18-ECP169

Information

Received: 14 September 2017; Accepted: 17 September 2018; Published: 2018
First available in Project Euclid: 10 October 2018

zbMATH: 1401.60150
Digital Object Identifier: 10.1214/18-ECP169

Subjects:
Primary: 60G51, 60J60

JOURNAL ARTICLE
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