Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
نویسندگان
چکیده
منابع مشابه
Wiener–hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
We show that the positive Wiener–Hopf factor of a Lévy process with positive jumps having a rational Fourier transform is a rational function itself, expressed in terms of the parameters of the jump distribution and the roots of an associated equation. Based on this, we give the closed form of the ruin probability for a Lévy process, with completely arbitrary negatively distributed jumps, and f...
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We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant rate, with completely arbitrary positive distributed jumps, and finite intensity negative jumps with distribution characterized by having a rational Laplace or Fourier transform. Abbreviated Title: WH-factors of Lévy processes with rational jumps.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2008
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1208358956