On several two-boundary problems for a particular class of Lévy processes

DOI10.1007/s10959-007-0088-8zbMath1138.60038arXivmath/0701924OpenAlexW2097531812MaRDI QIDQ2471128

Tetyana Kadankova, Noël Veraverbeke

Publication date: 18 February 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701924

zbMATH Keywords

integral transformsovershootfirst exit timefirst entry timecompound Poisson process with two sided jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Boundary theory for Markov processes (60J50)

Related Items (7)

Number of jumps in two-sided first-exit problems for a compound Poisson process ⋮ Meromorphic Lévy processes and their fluctuation identities ⋮ Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity ⋮ Exit problems for jump processes having double-sided jumps with rational Laplace transforms ⋮ VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

Cites Work

• Problem of destruction and resolvent of a terminating process with independent increments
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• On the distribution of duration of stay in an interval of the semi-continuous process with independent increments
• Exit problem for a spectrally positive process
• On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
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