Exit identities for L\'evy processes observed at Poisson arrival times
Probability
2016-03-18 v2
Abstract
For a spectrally one-sided L\'{e}vy 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.
Cite
@article{arxiv.1403.2854,
title = {Exit identities for L\'evy processes observed at Poisson arrival times},
author = {Hansjörg Albrecher and Jevgenijs Ivanovs and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1403.2854},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.3150/15-BEJ695 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)