谱负Lévy过程带Xτ_0^-的有限个区间占位时的联合Laplace变换

Laplace transforms of finite intervals's joint occupation timeswith parameter Xτ_0^- for spectrally Lévy processes

运用Esscher测度变换的方法,研究谱负Lévy过程关于首达时τ_0^-、过程在τ_0^-时的状态Xτ_0^-以及过程在[0,τ_0^-)上的有限个区间的占位时的联合分布。得到的联合占位时的Laplace变换表达式可用谱负Lévy过程广义的尺度函数表示。

By using the approach of Esscher measure transformation,the joint distribution involving the first hitting time τ0^-,the value Xτ0^- of the process at τ0^- and the finite intervals's occupation time of the process over [0,τ0^-) for spectrally negative Levy processes (SNLP) are considered.Expressions of the joint Laplace transforms can be expressed by generalized scaling function of the spectrally negative Levy processes.