Strikingly simple identities relating exit problems for L\'evy processes under continuous and Poisson observations
Abstract
We consider exit problems for general L\'evy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson process. It is shown that the two corresponding one-sided problems are related through a surprisingly simple identity. Moreover, we identify a simple link between two-sided exit problems with one continuous and one Poisson exit. Finally, Poisson exit of a reflected process is connected to the continuous exit of a process reflected at Poisson epochs, and a link between some Parisian type exit problems is established. With the appropriate perspective, the proofs of all these relations turn out to be quite elementary. For spectrally one-sided L\'evy processes this approach enables alternative proofs for a number of previously established identities, providing additional insight.
Cite
@article{arxiv.1507.03848,
title = {Strikingly simple identities relating exit problems for L\'evy processes under continuous and Poisson observations},
author = {Hansjoerg Albrecher and Jevgenijs Ivanovs},
journal= {arXiv preprint arXiv:1507.03848},
year = {2015}
}