Back to Search
Start Over
How long does the surplus stay close to its historical high?
- Publication Year :
- 2018
-
Abstract
- In this paper we find the Laplace transforms of the weighted occupation times for a spectrally negative L\'evy surplus process to spend below its running maximum up to the first exit times. The results are expressed in terms of generalized scale functions. For step weight functions, the Laplace transforms can be further expressed in terms of scale functions.<br />Comment: 19pages
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1806.03201
- Document Type :
- Working Paper