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The two-sided exit problem for spectrally positive Lévy processes

  • L. C. G. Rogers (a1)
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Postal address: Statistical Laboratory, Department of Pure Mathematics and Mathematical Statistics, University of Cambridge, 16 Mill Lane, Cambridge, CB2 1SB.

References

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[1] Bingham, N. H. (1975) Fluctuation theory in continuous time. Adv. Appl. Prob. 7, 705766.
[2] Bretagnolle, J. (1971) Résultats de Kesten sur les processus à accroissements indépendants. Sém. de Probabilités V, Lecture Notes in Mathematics 191, Springer-Verlag, Berlin, 2136.
[3] Emery, D. J. (1973) Exit problem for a spectrally positive process. Adv. Appl. Prob. 5, 498520.
[4] Takács, L. (1967) Combinatorial Methods in the Theory of Stochastic Processes. Wiley, New York.

The two-sided exit problem for spectrally positive Lévy processes

  • L. C. G. Rogers (a1)

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