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On the last exit times for spectrally negative Lévy processes

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成果类型:
期刊论文
作者:
Li, Yingqiu;Yin, Chuancun;Zhou, Xiaowen*
通讯作者:
Zhou, Xiaowen
作者机构:
[Li, Yingqiu] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Hunan, Peoples R China.
[Yin, Chuancun] Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China.
[Zhou, Xiaowen] Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada.
通讯机构:
[Zhou, Xiaowen] C
Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada.
语种:
英文
关键词:
Spectrally negative Levy process;last exit time;Gerber-Shiu function;occupation time
期刊:
JOURNAL OF APPLIED PROBABILITY
ISSN:
0021-9002
年:
2017
卷:
54
期:
2
页码:
474-489
基金类别:
Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [11571052, 11571198]; NSERCNatural Sciences and Engineering Research Council of Canada (NSERC) [249554-2011]
机构署名:
本校为第一机构
院系归属:
数学与统计学院
摘要:
Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous res...

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