On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments

DOI10.1137/1114002zbMath0281.60079OpenAlexW2070537809MaRDI QIDQ4766359

Publication date: 1969

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1114002

Mathematics Subject Classification ID

Sample path properties (60G17) Markov processes (60J99)

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Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators ⋮ Wiener-Hopf factorization for convolution semigroups ⋮ Numerical computation of first-passage times of increasing Lévy processes ⋮ Maxima of sums of random variables and suprema of stable processes ⋮ Exit distributions for symmetric Markov processes via Gaussian techniques ⋮ The magnitude of a positive level jump ⋮ The magnitude of a positive level jump ⋮ Distribution of the exit time and value for homogeneous processes with independent increments given on a finite Markov chain ⋮ The time to ruin for a class of Markov additive risk process with two-sided jumps ⋮ Further results for ladder processes in continuous time ⋮ Generalized parking problems for levy processes

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