Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum

DOI10.1239/jap/1197908821zbMath1132.60042OpenAlexW2059128192MaRDI QIDQ5448749

Xiao-Wen Zhou

Publication date: 7 March 2008

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1197908821

zbMATH Keywords

fluctuation theoryexit problemruin timerisk modelreflected Lévy processexcursionspectrally negative Lévy process

Mathematics Subject Classification ID

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

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