Exit problem for a spectrally positive process-Reference-Cited by-同舟云学术

Exit problem for a spectrally positive process

Published:1973-12 Issue:3 Volume:5 Page:498-520
ISSN:0001-8678
Container-title:Advances in Applied Probability
language:en
Short-container-title:Advances in Applied Probability

Author:

Emery D. J.

Abstract

The joint distributions of the exit time and exit value of a spectrally positive process, from semi-infinite and finite intervals, are derived in the form of Fourier-Laplace transforms. Also the probability that such a process makes its first exit from a finite interval via the lower end point is obtained explicitly.

Publisher

Cambridge University Press (CUP)

Subject

Applied Mathematics,Statistics and Probability

Reference13 articles.

1. Infinitely divisible processes and their potential theory. I

2. On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments

3. On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments

4. On the Distribution of the Maximum of a Process with Independent Increments

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