Baurdoux, Erik J. (2009) Last exit before an exponential time for spectrally negative Lévy processes. Journal of Applied Probability, 46 (2). pp. 542-588. ISSN 0021-9002
|
PDF
Download (307Kb) | Preview |
Abstract
In [5], the Laplace transform was found of the last time a spectrally negative Lévy process, which drifts to innity, is below some level. The main motivation for the study of this random time stems from risk theory: what is the last time the risk process, modeled by a spectrally negative Lévy process drifting to infinity, is zero? In this paper we extend the result found in [5] and we derive the Laplace transform of the last time before an independent, exponentially distributed time, that a spectrally negative Lévy process (without any further conditions) exceeds (upwards or downwards) or hits a certain level. As an application we extend a result found by Doney in [6].
| Item Type: | Article |
|---|---|
| Official URL: | https://projecteuclid.org/euclid.jap |
| Additional Information: | © 2009 Applied Probability Trust |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Research centres and groups > Risk and Stochastics Group Departments > Statistics |
| Date Deposited: | 08 May 2009 10:27 |
| URL: | http://eprints.lse.ac.uk/23924/ |
Actions (login required)
 |
Record administration - authorised staff only |
Download statistics
Download statistics