Distribution of some functionals for a L\'evy process with matrix-exponential jumps of the same sign

zbMATH Open1313.60085arXiv1412.2353MaRDI QIDQ2933265FDOQ2933265

Authors: É. V. Karnaukh 

Publication date: 10 December 2014

Abstract: This paper provides a framework for investigations in fluctuation theory for L'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we establish generalizations of some results known for compound Poisson processes with exponential jumps in one direction and generally distributed jumps in the other direction.

Full work available at URL: https://arxiv.org/abs/1412.2353

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]overshootsojourn timeextremaladder processmatrix-exponential jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (4)

• A note on \(r\)-balayages of matrix-exponential Lévy processes
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• Fluctuation theory for Lévy processes with completely monotone jumps
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps

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