The Local Time of the Classical Risk Process
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Publication:3551255
zbMath1190.60072arXiv0801.2106MaRDI QIDQ3551255
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Publication date: 15 April 2010
Abstract: In this paper we give an explicit expression for the local time of the classical risk process and associate it with the density of an occupational measure. To do so, we approximate the local time by a suitable sequence of absolutely continuous random fields. Also, as an application, we analyze the mean of the times $s in [0,T]$ such that $0leq X_{s} leq X_{s+epsilon} $ for some given $epsilon>0$.
Full work available at URL: https://arxiv.org/abs/0801.2106
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