Exit identities for Levy processes observed at Poisson arrival times

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Version: Final published version
Serval ID
serval:BIB_E0310877FA12
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Exit identities for Levy processes observed at Poisson arrival times
Journal
Bernoulli
Author(s)
Albrecher H., Ivanovs J., Zhou X.
ISSN
1350-7265
Publication state
Published
Issued date
08/2016
Peer-reviewed
Oui
Volume
22
Number
3
Pages
1364-1382
Language
english
Abstract
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.
Keywords
Cramer-Lundberg risk model, dividends, exit problem, reflection, spectrally negative Levy process
Web of science
Open Access
Yes
Create date
02/01/2015 11:39
Last modification date
20/08/2019 16:04
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