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How long does the surplus stay close to its historical high?

Authors :
Li, Bo
Hua, Yun
Zhou, Xiaowen
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

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1806.03201
Document Type :
Working Paper