First exit from an open set for a matrix-exponential Lévy process

DOI10.1016/J.SPL.2017.03.018MaRDI QIDQ2406785zbMATH OpenOpenAlexWikidataFDO

Authors Yu-Ting Chen, Yu-Tzu Chen, Yuan-Chung Sheu

Publication date 6 October 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2017.03.018

zbMATH Keywords

first exit problemsjump diffusionsLévy processesmatrix-exponential distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites work

• A note on \(r\)-balayages of matrix-exponential Lévy processes
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• Fluctuations of Lévy processes with applications. Introductory lectures
• Gerber-Shiu risk theory
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• Meromorphic Lévy processes and their fluctuation identities
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Ruin in the perturbed compound Poisson risk process under interest force
• Ruin probabilities
• Russian and American put options under exponential phase-type Lévy models.
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

Cited in

(2)

• A note on \(r\)-balayages of matrix-exponential Lévy processes
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