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Local Times for Spectrally Negative Lévy Processes

  • Bo Li
  • Xiaowen ZhouEmail author
Article
  • 14 Downloads

Abstract

For spectrally negative Lévy processes, adapting an approach from Li and Palmowski (Stoch. Process. Appl. 128(10), 3273–3299 2018) we identify joint Laplace transforms involving local times evaluated at either the first passage times, or independent exponential times, or inverse local times. The Laplace transforms are expressed in terms of the associated scale functions. Connections are made with the permanental process and the Markovian loop soup measure.

Keywords

Spectrally negative Lévy process Local time Inverse local time Weighted occupation time Permanental process Markovian loop soup measure 

Mathematics Subject Classification (2010)

60J55 60J45 60G51 

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Notes

Acknowledgements

We are grateful to an anonymous referee for numerous very helpful comments and suggestions. Bo Li thanks Concordia University where the work on this paper was carried out during his visits.

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Copyright information

© Springer Nature B.V. 2019

Authors and Affiliations

  1. 1.School of Mathematics and LPMCNankai UniversityTianjinChina
  2. 2.Department of Mathematics and StatisticsConcordia UniversityMontrealCanada

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