標題: First exit from an open set for a matrix-exponential Levy process
作者: Chen, Yu-Ting
Chen, Yu-Tzu
Sheu, Yuan-Chung
應用數學系
Department of Applied Mathematics
關鍵字: First exit problems;Levy processes;Matrix-exponential distributions;Jump diffusions
公開日期: 1-Aug-2017
摘要: We study the first exit from a general open set for a one-dimensional Levy process, where the Levy measure is proportional to a two-sided matrix-exponential distribution. Under appropriate conditions on the Levy measure, we obtain an explicit solution for the joint distribution of the first-exit time and the position of the Levy process upon first exit, in terms of the zeros and poles of the corresponding Laplace exponent. The present result complements several earlier works on the use of exit sets for Levy processes with algebraically similar Laplace exponents, where exits from open intervals are the main focus. Published by Elsevier B.V.
URI: http://dx.doi.org/10.1016/j.spl.2017.03.018
http://hdl.handle.net/11536/145542
ISSN: 0167-7152
DOI: 10.1016/j.spl.2017.03.018
期刊: STATISTICS & PROBABILITY LETTERS
Volume: 127
起始頁: 104
結束頁: 110
Appears in Collections:Articles