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Abstract Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at… Click to show full abstract
Abstract Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.
Keywords:
spectrally negative;
last exit;
negative processes;
exit times;
times spectrally;
exit
Journal Title: Journal of Applied Probability
Year Published: 2017
Link to full text (if available)
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Journal Title: Journal of Applied Probability
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!