{
  "id": "1604.00097",
  "version": "v1",
  "published": "2016-04-01T01:44:07.000Z",
  "updated": "2016-04-01T01:44:07.000Z",
  "title": "Occupation times of general Lévy processes",
  "authors": [
    "Lan Wu",
    "Jiang Zhou",
    "Shuang Yu"
  ],
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-04-01T01:44:07.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "occupation times",
      "general lévy processes",
      "compound poisson process",
      "arbitrary levy process",
      "laplace transform"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2016arXiv160400097W"
    }
  }
}