On the last exit times for spectrally negative Lévy processes

DOI10.1017/JPR.2017.12zbMath1400.60068arXiv1606.04622OpenAlexW2963716274MaRDI QIDQ4684866

Xiao-Wen Zhou, Ying-qiu Li, Chuan-Cun Yin

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.04622

zbMATH Keywords

occupation timeGerber-Shiu functionspectrally negative Lévy processlast exit time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (14)

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• Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• The Joint Laplace Transforms for Diffusion Occupation Times
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum

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