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