A note on \(r\)-balayages of matrix-exponential Lévy processes

DOI10.1214/ECP.v14-1456zbMath1189.60153MaRDI QIDQ1038950

Yuan-Chung Sheu, Yu-Ting Chen

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/233596

zbMATH Keywords

balayageLévy processruin theoryfirst exitmatrix-exponential distribution

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes ⋮ First exit from an open set for a matrix-exponential Lévy process ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes

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