Exit identities for Lévy processes observed at Poisson arrival times

Hansjörg Albrecher · Jevgeņijs Ivanovs · Xiaowen Zhou

104 citations0/0 files storedBernoulli

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Probability and Statistical Research Stochastic processes and statistical mechanics

Abstract

For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson process. In addition, we consider exit problems of this type for processes reflected either from above or from below. The resulting Laplace transforms of the main quantities of interest are in terms of scale functions and turn out to be simple analogues of the classical formulas.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 104 citations exist upstream.

References

1998On the Time Value of Ruin 2010Ruin Probabilities 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes 2006Overshoots and undershoots of Lévy processes

Cited by

2017Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes 2016Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes 2018Spectrally negative Lévy risk model under Erlangized barrier strategy 2014On pre-exit joint occupation times for spectrally negative Lévy processes 2017On the optimality of periodic barrier strategies for a spectrally positive Lévy process

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.