A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process

DOI10.1007/S11464-020-0861-XMaRDI QIDQ2048165zbMATH OpenOpenAlexFDO

Authors Man Chen, Xian Yuan Wu, Xiaowen Zhou

Publication date 5 August 2021

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-020-0861-x

zbMATH Keywords

scale functionWiener-Hopf factorizationexcursion theorypotential measuredrawdown timespectrally negative Lévy process (SNLP)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Other generalizations (nonlinear potential theory, etc.) (31C45) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68)

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Cites work

• scientific article; zbMATH DE number 2050986 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A drawdown reflected spectrally negative Lévy process
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• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
• Drawdown analysis for the renewal insurance risk process
• Drawdowns preceding rallies in the Brownian motion model
• Exit problems for general draw-down times of spectrally negative Lévy processes
• Fluctuations of Lévy processes with applications. Introductory lectures
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Gerber-Shiu risk theory
• On taxed spectrally negative Lévy processes with draw-down stopping
• Problem of desteuction and resolvent of a terminating process with independent increments
• The theory of scale functions for spectrally negative Lévy processes

Cited in

(4)

• On q-scale functions of spectrally negative Lévy processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• Two-sided discounted potential measures for spectrally negative Lévy processes

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