Exit problems for general draw-down times of spectrally negative Lévy processes
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Publication:5226250
DOI10.1017/JPR.2019.31zbMath1415.60048arXiv1702.07259OpenAlexW2964471208MaRDI QIDQ5226250
Bo Li, Nhat Linh Vu, Xiao-Wen Zhou
Publication date: 31 July 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.07259
hitting timepotential measureexit problemspectrally negative Lévy processdraw-down timecreeping time
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Transition functions, generators and resolvents (60J35)
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