Passage times for a spectrally negative Lévy process with applications to risk theory (Q2565931)

From MaRDI portal
Revision as of 06:43, 3 February 2024 by Import240129110113 (talk | contribs) (Added link to MaRDI item.)
scientific article
Language Label Description Also known as
English
Passage times for a spectrally negative Lévy process with applications to risk theory
scientific article

    Statements

    Passage times for a spectrally negative Lévy process with applications to risk theory (English)
    0 references
    0 references
    0 references
    28 September 2005
    0 references
    Let \(X\) be a Lévy process with a generating triplet \((\sigma, \nu, a)\), \(\sigma\geq 0\), \(a\in\mathbb{R}\), and \(\nu\) is supported on \((-\infty,0)\). Let \(\tau_x\) and \(T_x\) be the first passage times above and below the level \(x\), and \(l_x\) and \(T'_x\) be the last passage times below and above the level \(x\) after times \(\tau_x\) and \(T_x\), respectively. The authors find explicit formulae for the Laplace transforms of \(l_x\), \(l_x-\tau_x\) and the joint Laplace transform of \(T_x\), \(l_x-T_x\) and \(T'_x-T_x\). A particular case when jumps constitute a compound Poisson process is considered.
    0 references
    first passage time
    0 references
    last passage time
    0 references

    Identifiers