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The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps
- Part of
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- Journal:
- Journal of Applied Probability / Volume 56 / Issue 4 / December 2019
- Published online by Cambridge University Press:
- 11 December 2019, pp. 1086-1105
- Print publication:
- December 2019
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- Article
- Export citation
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We study the distribution of the negative Wiener–Hopf factor for a class of two-sided jump Lévy processes whose positive jumps have a rational Laplace transform. The positive Wiener–Hopf factor for this class of processes was studied by Lewis and Mordecki (2008). Here we obtain a formula for the Laplace transform of the negative Wiener–Hopf factor, as well as an explicit expression for its probability density in terms of sums of convolutions of known functions. Under additional regularity conditions on the Lévy measure of the studied processes, we also provide asymptotic results as
$u\to-\infty$
for the distribution function F(u) of the negative Wiener–Hopf factor. We illustrate our results in some particular examples.
