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On the last exit times for spectrally negative Lévy processes

  • Yingqiu Li (a1), Chuancun Yin (a2) and Xiaowen Zhou (a3)

Abstract

Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.

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Corresponding author

* Postal address: School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha, Hunan 410114, China.
** Postal address: School of Statistics, Qufu Normal University, Qufu, Shandong 273165, China.
*** Postal address: Department of Mathematics and Statistics, Concordia University, Montreal, Quebec H3G 1M8, Canada. Email address: xiaowen.zhou@concordia.ca

References

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[10] Loeffen, R., Renaud, J.-F. and Zhou, X. (2014). Occupation times of intervals until first passage times for spectrally negative Lévy processes. Stoch. Process. Appl. 124, 14081435.
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On the last exit times for spectrally negative Lévy processes

  • Yingqiu Li (a1), Chuancun Yin (a2) and Xiaowen Zhou (a3)

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