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Two-sided discounted potential measures for spectrally negative Lévy processes

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成果类型:
期刊论文
作者:
Li, Yingqiu;Zhou, Xiaowen*;Zhu, Na
通讯作者:
Zhou, Xiaowen
作者机构:
[Li, Yingqiu; Zhu, Na] Changsha Univ Sci & Technol, Coll Math & Comp Sci, Changsha 410004, Hunan, Peoples R China.
[Zhou, Xiaowen] Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada.
[Zhou, Xiaowen] Concordia Univ, Dept Math & Stat, 1455 Maisonneuve Blvd West, Montreal, PQ H3G 1M8, Canada.
通讯机构:
[Zhou, Xiaowen] C
Concordia Univ, Dept Math & Stat, 1455 Maisonneuve Blvd West, Montreal, PQ H3G 1M8, Canada.
语种:
英文
关键词:
Joint occupation time;Laplace transform;Potential measure;Spectrally negative Lévy process
期刊:
Statistics & Probability Letters
ISSN:
0167-7152
年:
2015
卷:
100
页码:
67-76
基金类别:
National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [11171044]; Hunan Provincial Innovation Foundation for Postgraduate [CX2014B388]; Scientific Research Fund from Department of Land and Resources of Hunan Province [2013-28]; Natural Science and Engineering Research Council of CanadaNatural Sciences and Engineering Research Council of Canada (NSERC) [249554-2011]
机构署名:
本校为第一机构
院系归属:
数学与统计学院
摘要:
For spectrally negative Levy processes, we find expressions of potential measures that are discounted by their joint occupation times over semi-infinite intervals (-infinity, 0) and (0, infinity). These expressions are in terms of the associated scale functions and the inverse functions of Laplace exponents. (C)...

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