The unified form of Pollaczek--Khinchine formula for L\'evy processes with matrix-exponential negative jumps

zbMATH Open1289.60089arXiv1310.7125MaRDI QIDQ5745951FDOQ5745951

Authors: Ye. Karnaukh, D. V. Gusak 

Publication date: 17 February 2014

Abstract: For L'evy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.

Full work available at URL: https://arxiv.org/abs/1310.7125

zbMATH Keywords

Pollaczek-Khinchine formulaLévy processmatrix-exponential negative jumps

Mathematics Subject Classification ID

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

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