Some fluctuation identities for Lévy processes with jumps of the same sign

DOI10.1239/jap/1101840564zbMath1064.60102OpenAlexW2082564863MaRDI QIDQ4660543

Xiao-Wen Zhou

Publication date: 4 April 2005

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

Full work available at URL: https://doi.org/10.1239/jap/1101840564

zbMATH Keywords

exit problemsLévy process with no positive jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (1)

Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory

Cites Work

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• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• The two-sided exit problem for spectrally positive Lévy processes
• Exit problem for a spectrally positive process
• Fluctuation theory in continuous time
• On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
• L'intégrale du mouvement brownien

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