Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes (Q1958501): Difference between revisions

The author introduces a class of scalar Lévy processes in terms of a parametrized class of Lévy measures with exponentially light distribution tails, which has the property that its characteristic exponent is a meromorphic function in some well-known analytic functions. In particular this family covers Lévy processes with an arbitary behavior of small jumps. For this class, a semi-explicit formula of the Wiener-Hopf factors is established, which allows to compute the density of the respective supremum of the process. This is carried out via the representation of the Wiener-Hopf factors as an infinite product over the roots of a certain transcendental equation. These results are motivated by an easy compound Poisson process, for which all calculations are done explicitly. For a special class of Lévy processes with infinite variation, even stronger results are established, due to the good analytic structure of the characteristic exponent. The detailed study of the mentioned roots allows to present an algorithm for the acceleration of the convergence in the infinite series. The article concludes with some concrete numerical results and comments on the implementation.