Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations

DOI10.1016/J.SPA.2016.06.021zbMATH Open1354.60048arXiv1507.03848OpenAlexW2962699628MaRDI QIDQ730354FDOQ730354

Authors: Jevgenijs Ivanovs, Hansjörg Albrecher 

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider exit problems for general L'evy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson process. It is shown that the two corresponding one-sided problems are related through a surprisingly simple identity. Moreover, we identify a simple link between two-sided exit problems with one continuous and one Poisson exit. Finally, Poisson exit of a reflected process is connected to the continuous exit of a process reflected at Poisson epochs, and a link between some Parisian type exit problems is established. With the appropriate perspective, the proofs of all these relations turn out to be quite elementary. For spectrally one-sided L'evy processes this approach enables alternative proofs for a number of previously established identities, providing additional insight.

Full work available at URL: https://arxiv.org/abs/1507.03848

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zbMATH Keywords

occupation timesParisian ruinexit problemsPoisson observationLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited In (26)

• Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
• Periodic threshold-type dividend strategy in the compound Poisson risk model
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• Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
• On fluctuation-theoretic decompositions via Lindley-type recursions
• Exit identities for Lévy processes observed at Poisson arrival times
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• A temporal approach to the Parisian risk model
• The Leland-Toft optimal capital structure model under Poisson observations
• Ruin probabilities for risk process in a regime-switching environment
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• Poissonian occupation times of spectrally negative Lévy processes with applications
• Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
• On the compound Poisson risk model with periodic capital injections
• On the analysis of deep drawdowns for the Lévy insurance risk model

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