Bo Li, Xiaowen Zhou
Published 2017-05-03Version 1
For spectrally negative L\'evy processes, adapting an approach from \cite{BoLi:sub1}, 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. As an application, a Ray-Knight theorem type result is obtained.
Occupation times of intervals until first passage times for spectrally negative Lévy processes
On $q$-scale functions of spectrally negative Lévy processes
On moments of downwards passage times for spectrally negative Lévy processes
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