On the last exit times for spectrally negative L\'evy processes
Probability
2016-10-05 v1
Abstract
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time, which generalizes some previous results.
Cite
@article{arxiv.1606.04622,
title = {On the last exit times for spectrally negative L\'evy processes},
author = {Yingqiu Lia and Chuancun Yin and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1606.04622},
year = {2016}
}
Comments
16pages