The distribution of the supremum for spectrally asymmetric Lévy processes

DOI10.1214/ECP.V20-2999zbMath1321.60097arXiv1410.2554OpenAlexW2015962493MaRDI QIDQ2517250

Zbigniew Michna, Zbigniew Palmowski, Martijn R. Pistorius

Publication date: 17 August 2015

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

Full work available at URL: https://arxiv.org/abs/1410.2554

zbMATH Keywords

distributionsupremumspectrally asymmetric Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

Zooming in on a Lévy process at its supremum ⋮ Ruin probabilities for two collaborating insurance companies ⋮ Law of the first passage triple of a spectrally positive strictly stable process ⋮ Short proofs in extrema of spectrally one sided Lévy processes ⋮ Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes

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