Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes

DOI10.1239/JAP/1245676105MaRDI QIDQ5321767zbMATH OpenOpenAlexFDO

Authors Erik J. Baurdoux

Publication date 15 July 2009

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

Full work available at URL https://doi.org/10.1239/jap/1245676105

zbMATH Keywords

exit problemfluctuation theorylast passage timerisk theoryspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Recommendations

• On the last exit times for spectrally negative Lévy processes
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Cites work

• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Evaluating Scale Functions of Spectrally Negative Lévy Processes
• Exit problem for a spectrally positive process
• Fluctuation theory in continuous time
• Hitting Probabilities for Spectrally Positive Lévy Processes
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3393503 (Why is no real title available?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Old and new examples of scale functions for spectrally negative Lévy processes
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Ruin probabilities and decompositions for general perturbed risk processes.
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Ruin probabilities for competing claim processes
• Russian and American put options under exponential phase-type Lévy models.
• When does the surplus reach a given target?

Cited in

(19)

• Occupation times of intervals until last passage times for spectrally negative Lévy processes
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Predicting the last zero of a spectrally negative Lévy process
• Occupation times for spectrally negative Lévy processes on the last exit time
• First and last passage times of spectrally positive Lévy processes with application to reliability
• Bridging the first and last passage times for Lévy models
• On the last exit times for spectrally negative Lévy processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time
• Double continuation regions for American options under Poisson exercise opportunities
• Joint distributions concerning last exit time for diffusion processes
• Predicting the last zero before an exponential time of a spectrally negative Lévy process
• Perpetual American options with asset-dependent discounting
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Optimal prediction of the last r-excursion time of Brownian motion models
• Last exit time until first exit time for spectrally negative Lévy processes
• Last passage times for generalized drawdown processes with applications
• On the last zero process with an application in corporate bankruptcy
• Range-based last passage time for spectrally negative Lévy processes

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