Some fluctuation identities for Lévy processes with jumps of the same sign
2004 ◽
Vol 41
(04)
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pp. 1191-1198
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Keyword(s):
We consider a two-sided exit problem for a Lévy process with no positive jumps. The Laplace transform of the time when the process first exits an interval from above is obtained. It is expressed in terms of another Laplace transform for the one-sided exit problem. Applications of this result are discussed. In particular, a new expression for the solution to the two-sided exit problem is obtained. The joint distribution of the minimum and the maximum values of such a Lévy process is also studied.
2004 ◽
Vol 41
(4)
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pp. 1191-1198
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Keyword(s):
2006 ◽
Vol 38
(03)
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pp. 768-791
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Keyword(s):
2006 ◽
Vol 38
(3)
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pp. 768-791
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Keyword(s):
2016 ◽
Vol 48
(1)
◽
pp. 274-297
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2009 ◽
Vol 46
(02)
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pp. 542-558
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1993 ◽
Vol 132
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pp. 141-153
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Keyword(s):
2015 ◽
Vol 47
(01)
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pp. 128-145
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Keyword(s):
1978 ◽
Vol 83
(1)
◽
pp. 83-90
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Keyword(s):