Exit problems for general draw-down times of spectrally negative Lévy processes
نویسندگان
چکیده
منابع مشابه
A martingale review of some fluctuation theory for spectrally negative Lévy processes ∗
We give a review of elementary fluctuation theory for spectrally negative Lévy processes using for the most part martingale theory. The methodology is based on techniques found in Kyprianou and Palmowski (2003) which deals with similar issues for a general class of Markov additive processes.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2019
ISSN: 0021-9002,1475-6072
DOI: 10.1017/jpr.2019.31