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On the last exit times for spectrally negative L��vy processes

Authors :
Lia, Yingqiu
Yin, Chuancun
Zhou, Xiaowen
Publication Year :
2016
Publisher :
arXiv, 2016.

Abstract

Using a new approach, for spectrally negative L��vy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time, which generalizes some previous results.<br />16pages

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........3b07b64845609edfdb47d717fcd68f43
Full Text :
https://doi.org/10.48550/arxiv.1606.04622