The excursion measure away from zero for spectrally negative Levy processes

被引:7
|
作者
Pardo, J. C. [1 ]
Perez, J. L. [1 ]
Rivero, V. M. [1 ]
机构
[1] Ctr Invest Matemat AC, Calle Jalisco S-N, Guanajuato 36240, Mexico
基金
英国工程与自然科学研究理事会;
关键词
Levy processes; Excursion theory from a point; Local times; Fluctuation theory; POINT-PROCESSES; MARKOV PROCESS;
D O I
10.1214/16-AIHP795
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We provide a description of the excursion measure from a point for a spectrally negative Levy process. The description is based in two main ingredients. The first is building a spectrally negative Levy process conditioned to avoid zero and the study of its entrance law at zero. The latter is connected with both the excursion measure from zero of the process reflected in its infimum and reflected in its supremum. This leads us to establish a connection between the excursion measure from the state zero and the excursion measure from zero for the process reflected at the infimum and reflected at the supremum, respectively, which is the second main ingredient of our description.
引用
收藏
页码:75 / 99
页数:25
相关论文
共 50 条
  • [31] On taxed spectrally negative Levy processes with draw-down stopping
    Avram, Florin
    Nhat Linh Vu
    Zhou, Xiaowen
    INSURANCE MATHEMATICS & ECONOMICS, 2017, 76 : 69 - 74
  • [32] A unified approach to ruin probabilities with delays for spectrally negative Levy processes
    Lkabous, Mohamed Amine
    Renaud, Jean-Francois
    SCANDINAVIAN ACTUARIAL JOURNAL, 2019, : 711 - 728
  • [33] Occupation times for spectrally negative Levy processes on the last exit time
    Li, Yingqiu
    Wei, Yushao
    Peng, Zhaohui
    STATISTICS & PROBABILITY LETTERS, 2021, 175
  • [34] DRAW-DOWN PARISIAN RUIN FOR SPECTRALLY NEGATIVE LEVY PROCESSES
    Wang, Wenyuan
    Zhou, Xiaowen
    ADVANCES IN APPLIED PROBABILITY, 2020, 52 (04) : 1164 - 1196
  • [35] PREDICTING THE LAST ZERO BEFORE AN EXPONENTIAL TIME OF A SPECTRALLY NEGATIVE LEVY PROCESS
    Baurdoux, Erik J.
    Pedraza, Jose M.
    ADVANCES IN APPLIED PROBABILITY, 2023, 55 (02) : 611 - 642
  • [36] Optimal barrier strategy for spectrally negative Levy process discounted by a class of exponential Levy processes
    Jiang, Huanqun
    ANNALS OF ACTUARIAL SCIENCE, 2018, 12 (02) : 326 - 337
  • [37] From CCR to Levy processes: An excursion in quantum probability
    Parthasarathy, K. R.
    EXPOSITIONES MATHEMATICAE, 2018, 36 (3-4) : 302 - 324
  • [38] The Entrance Law of the Excursion Measure of the Reflected Process for Some Classes of Levy Processes
    Chaumont, Loic
    Malecki, Jacek
    ACTA APPLICANDAE MATHEMATICAE, 2020, 169 (01) : 59 - 77
  • [39] A note on joint occupation times of spectrally negative Levy risk processes with tax
    Wang, Wenyuan
    Wu, Xueyuan
    Peng, Xingchun
    Yuen, Kam C.
    STATISTICS & PROBABILITY LETTERS, 2018, 140 : 13 - 22
  • [40] Two-sided discounted potential measures for spectrally negative Levy processes
    Li, Yingqiu
    Zhou, Xiaowen
    Zhu, Na
    STATISTICS & PROBABILITY LETTERS, 2015, 100 : 67 - 76