Meromorphic Lévy processes and their fluctuation identities

DOI10.1214/11-AAP787MaRDI QIDQ433907zbMATH OpenFDO

Authors Alexey Kuznetsov, A. E. Kyprianou, J. C. Pardo

Publication date 8 July 2012

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

Full work available at URL https://arxiv.org/abs/1004.4671, https://projecteuclid.org/euclid.aoap/1337347540

zbMATH Keywords

fluctuation theoryWiener-Hopf factorizationexit problemsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

Abstract: The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few. We mention in particular the many cases of spectrally negative Levy processes, hyper-exponential and generalized hyper-exponential Levy processes, Lamperti-stable processes, Hypergeometric processes, Beta-processes and Theta-processes. In this paper we introduce a new family of Levy processes, which we call Meromorphic Levy processes, or just M-processes for short, which overlaps with many of the aforementioned classes. A key feature of the M-class is the identification of their Wiener-Hopf factors as rational functions of infinite degree written in terms of poles and roots of the Levy-Khintchin exponent, all of which appear on the imaginary axis of the complex plane. The specific structure of the M-class Wiener-Hopf factorization enables us to explicitly handle a comprehensive suite of fluctuation identities that concern first passage problems for finite and infinite intervals for both the process itself as well as the resulting process when it is reflected in its infimum. Such identities are of fundamental interest given their repeated occurrence in various fields of applied probability such as mathematical finance, insurance risk theory and queuing theory.

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