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

DOI10.1016/J.SPL.2017.03.018zbMath1418.60039OpenAlexW2605178675WikidataQ115566860 ScholiaQ115566860MaRDI QIDQ2406785

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

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

Lévy processesjump diffusionsfirst exit problemsmatrix-exponential distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

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• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• Ruin in the perturbed compound Poisson risk process under interest force

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