Exit problems for general draw-down times of spectrally negative Lévy processes

For spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find expressions of the Laplace transforms for the two-sided exit...

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Veröffentlicht in:	Journal of applied probability 2019-06, Vol.56 (2), p.441-457
Hauptverfasser:	Li, Bo, Vu, Nhat Linh, Zhou, Xiaowen
Format:	Artikel
Sprache:	eng
Schlagworte:	Laplace transforms Research Papers Spectra Variation
Online-Zugang:	Volltext
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