Bridging the first and last passage times for Lévy models

DOI10.1016/j.spa.2022.12.005OpenAlexW4311764676MaRDI QIDQ2685908

David Landriault, Mohamed Amine Lkabous, Bin Li, Zijia Wang

Publication date: 23 February 2023

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

Full work available at URL: https://doi.org/10.1016/j.spa.2022.12.005

zbMATH Keywords

occupation timefirst passage timescale functionslast passage timespectrally negative Lévy processesParisian time

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Cites Work

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