On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps

DOI10.1016/j.spa.2012.04.014zbMath1246.60072arXiv1108.3008OpenAlexW2067624906MaRDI QIDQ432503

J. Herrera, H. S. Yoon

Publication date: 4 July 2012

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

Full work available at URL: https://arxiv.org/abs/1108.3008

zbMATH Keywords

Wiener-Hopf factorizationLévy processscale functiondistribution of the supremumentire functions of Cartwright classspectrally-negative processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (4)

Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ Occupation times of general Lévy processes ⋮ The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps

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