Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum

DOI10.1239/jap/1354716654zbMath1260.60094arXiv1204.1676MaRDI QIDQ4903039

Andreas E. Kyprianou, Curdin Ott

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1676

zbMATH Keywords

ruin; excursion theory; spectrally negative Lévy process; creeping

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K15: Markov renewal processes, semi-Markov processes

60K05: Renewal theory

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