On the last exit times for spectrally negative Lévy processes

Yingqiu Li · Chuancun Yin · Xiaowen Zhou

30 citations0/0 files storedJournal of Applied Probability

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

Abstract

Abstract 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 results.

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References

2014Fluctuations of Lévy Processes with Applications 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes 2016Exit identities for Lévy processes observed at Poisson arrival times 1990When does the surplus reach a given target?2005Passage times for a spectrally negative Lévy process with applications to risk theory 2011Drawdowns and the Speed of Market Crash 2015Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

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