The two-sided exit problem for spectrally positive Lévy processes

DOI10.2307/1427548zbMath0698.60063OpenAlexW2429594514MaRDI QIDQ3476089

L. C. G. Rogers

Publication date: 1990

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427548

zbMATH Keywords

Lévy processspectrally positivetwo-sided exit

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes (60J99)

Related Items (14)

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ A hitting time for Lévy processes, with application to dams and branching processes ⋮ On q-scale functions of spectrally negative Lévy processes ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ Occupation densities in solving exit problems for Markov additive processes and their reflections ⋮ Some fluctuation identities for Lévy processes with jumps of the same sign ⋮ Smoothness of scale functions for spectrally negative Lévy processes ⋮ Lévy Processes with Two-Sided Reflection ⋮ Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options ⋮ Fluctuations of Lévy processes and scattering theory ⋮ Passage times for a spectrally negative Lévy process with applications to risk theory ⋮ Escape probabilities from an interval for compound Poisson processes with drift ⋮ Transition densities of spectrally positive Lévy processes

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