On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum (Q1827468)
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English | On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum |
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On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum (English)
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6 August 2004
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Let \(X\) be a spectrally one-sided Lévy process and reflect it at its past infimum \(I\). That is the Lévy process minus its past infimum \(Y=X-I\). The author studies such a process. Here he determines the Laplace transform for \(Y\) if \(X\) is spectrally negative. Subsequently, he finds an expression for the resolvent measure for \(Y\) killed upon leaving \([0,a]\) and studies some properties of this process. Finally, the rate of convergence of the supremum of the reflected process to \(a\) is given.
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reflected Lévy process
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resolvent measure
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Laplace transform
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