標題: | A NOTE ON R-BALAYAGES OF MATRIX-EXPONENTIAL LEVY PROCESSES |
作者: | Chen, Yu-Ting Sheu, Yuan-Chung 應用數學系 Department of Applied Mathematics |
關鍵字: | Levy process;matrix-exponential distribution;first exit;balayage;ruin theory |
公開日期: | 21-四月-2009 |
摘要: | In this note we give semi-explicit solutions for r-balayages of matrix-exponential Levy processes. To this end, we turn to an identity for the joint Laplace transform of the first entry time and the undershoot and a semi-explicit solution of the negative Wiener-Hopf factor. Our result is closely related to the works by Mordecki in [11], Asmussen, Avram and Pistorius in [3], Chen, Lee and Sheu in [7], and many others. |
URI: | http://hdl.handle.net/11536/7353 |
ISSN: | 1083-589X |
期刊: | ELECTRONIC COMMUNICATIONS IN PROBABILITY |
Volume: | 14 |
Issue: | |
起始頁: | 165 |
結束頁: | 175 |
顯示於類別: | 期刊論文 |