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Published in 2017 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2017.12
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…
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Keywords:
spectrally negative;
last exit;
negative processes;
exit times ... See more keywords