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

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Preprint
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Submission Date
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arXiv ID: 1606.04622
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arXiv
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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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