Exit identities for Levy processes observed at Poisson arrival times
Détails
Télécharger: BIB_E0310877FA12.P001.pdf (185.86 [Ko])
Etat: Public
Version: Final published version
Etat: Public
Version: Final published version
ID Serval
serval:BIB_E0310877FA12
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exit identities for Levy processes observed at Poisson arrival times
Périodique
Bernoulli
ISSN
1350-7265
Statut éditorial
Publié
Date de publication
08/2016
Peer-reviewed
Oui
Volume
22
Numéro
3
Pages
1364-1382
Langue
anglais
Résumé
For a spectrally one-sided Levy 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.
Mots-clé
Cramer-Lundberg risk model, dividends, exit problem, reflection, spectrally negative Levy process
Web of science
Open Access
Oui
Création de la notice
02/01/2015 11:39
Dernière modification de la notice
20/08/2019 16:04