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For an Ornstein-Uhlenbeck process driven by a double exponential jumpdiffusion process, we obtain formulas for the joint Laplace transform of it andits occupation times. The approach used is remarkable and can be extended toinvestigate the occupation times of an Ornstein-Uhlenbeck process driven by amore general Levy process.

Occupation times of generalized Ornstein-Uhlenbeck processes with two-sided exponential jumps