DISTRIBUTION OF THE OCCUPATION TIME FOR A LEVY PROCESS AT PASSAGE TIMES AT 0

Authors
MARCHAL P
Citation
P. Marchal, DISTRIBUTION OF THE OCCUPATION TIME FOR A LEVY PROCESS AT PASSAGE TIMES AT 0, Stochastic processes and their applications, 74(1), 1998, pp. 123-131
Citations number
9
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
74
Issue
1
Year of publication
1998
Pages
123 - 131
Database
ISI
SICI code
0304-4149(1998)74:1<123:DOTOTF>2.0.ZU;2-N
Abstract
Let X be a real-valued Levy process and A(t) the time spent on (0, inf inity) before time t. Suppose that 0 is not polar. We determine the di stribution of (T,A(T)) where T is the first return time to 0 in the ir regular case, and the inverse local time at 0 in the regular case. Thi s generalizes a recent result of Fitzsimmons and Getoor (1995). (C) 19 98 Elsevier Science B.V. All rights reserved.