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On the last exit times for spectrally negative L\'evy processes

Authors
  • Lia, Yingqiu
  • Yin, Chuancun
  • Zhou, Xiaowen
Type
Preprint
Publication Date
Jun 14, 2016
Submission Date
Jun 14, 2016
Identifiers
arXiv ID: 1606.04622
Source
arXiv
License
Yellow
External links

Abstract

Using a new approach, for spectrally negative L?evy processes we ?nd joint Laplace transforms involving the last exit time (from a semi-in?nite interval), the value of the process at the last exit time and the associated occupation time, which generalizes some previous results.

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