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On Maxima and Ladder Processes for a Dense Class of Lévy Process

  • Martijn Pistorius (a1)

Abstract

In this paper, we present an iterative procedure to calculate explicitly the Laplace transform of the distribution of the maximum for a Lévy process with positive jumps of phase type. We derive error estimates showing that this iteration converges geometrically fast. Subsequently, we determine the Laplace transform of the law of the upcrossing ladder process and give an explicit pathwise construction of this process.

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Corresponding author

Postal address: Department of Mathematics, King's College London, Strand, London WC2R 2LS, UK. Email address: pistoriu@mth.kcl.ac.uk

References

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On Maxima and Ladder Processes for a Dense Class of Lévy Process

  • Martijn Pistorius (a1)

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