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
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
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