The excursion measure away from zero for spectrally negative Lévy processes

DOI10.1214/16-AIHP795zbMath1396.60052arXiv1507.05225MaRDI QIDQ1635961

José Luis Pérez Garmendia, Juan Carlos Pardo, Víctor Manuel Rivero

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.05225

zbMATH Keywords

Lévy processeslocal timesfluctuation theoryexcursion theory from a point

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17)

Related Items (7)

Generalized scale functions of standard processes with no positive jumps ⋮ Local times for spectrally negative Lévy processes ⋮ A probabilistic approach to spectral analysis of growth-fragmentation equations ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ Generalized refracted Lévy process and its application to exit problem ⋮ Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs ⋮ Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs

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