Guérin, Hélène; Renaud, Jean-François Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view. (English) Zbl 1337.60090 Adv. Appl. Probab. 48, No. 1, 274-297 (2016). MSC: 60G51 60J60 60J75 91G20 91G80 PDFBibTeX XMLCite \textit{H. Guérin} and \textit{J.-F. Renaud}, Adv. Appl. Probab. 48, No. 1, 274--297 (2016; Zbl 1337.60090) Full Text: DOI arXiv Euclid
Renaud, Jean-François On the time spent in the red by a refracted Lévy risk process. (English) Zbl 1321.60099 J. Appl. Probab. 51, No. 4, 1171-1188 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{J.-F. Renaud}, J. Appl. Probab. 51, No. 4, 1171--1188 (2014; Zbl 1321.60099) Full Text: arXiv Euclid