On the last exit times for spectrally negative Lévy processes-Reference-Cited by-同舟云学术

On the last exit times for spectrally negative Lévy processes

Published:2017-06 Issue:2 Volume:54 Page:474-489
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:J. Appl. Probab.

Author:

Li Yingqiu,Yin Chuancun,Zhou Xiaowen

Abstract

Abstract Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference14 articles.

1. Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

2. The Joint Laplace Transforms for Diffusion Occupation Times

3. The Theory of Scale Functions for Spectrally Negative Lévy Processes

4. Exit identities for Lévy processes observed at Poisson arrival times

5. Li B. and Cai C. (2016). Occupation times of intervals until last passage times for spectrally negative Lévy processes. Preprint. Available at https://arxiv.org/abs/1605.07709v2.

Cited by 19 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Last passage times for generalized drawdown processes with applications;Scandinavian Actuarial Journal;2024-08-13

2. Optimum test condition setting and sample allocation for accelerated degradation tests under the last-exit-time failure mode;Quality Technology & Quantitative Management;2023-10-17

3. Joint Distributions Concerning Last Exit Time for Diffusion Processes;Frontiers of Mathematics;2023-09

4. Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time;Lithuanian Mathematical Journal;2023-07

5. Bridging the first and last passage times for Lévy models;Stochastic Processes and their Applications;2023-03