On the last exit times for spectrally negative Lévy processes
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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… read more here.
Keywords: spectrally negative; last exit; negative processes; exit times ... See more keywords