A NOTE ON R-BALAYAGES OF MATRIX-EXPONENTIAL LEVY PROCESSES

dc.citation.epage	175	en_US
dc.citation.issue		en_US
dc.citation.spage	165	en_US
dc.citation.volume	14	en_US
dc.citation.woscount	2
dc.contributor.author	Chen, Yu-Ting	en_US
dc.contributor.author	Sheu, Yuan-Chung	en_US
dc.contributor.department	應用數學系	zh_TW
dc.contributor.department	Department of Applied Mathematics	en_US
dc.date.accessioned	2014-12-08T15:09:36Z
dc.date.available	2014-12-08T15:09:36Z
dc.date.issued	2009-04-21	en_US
dc.description.abstract	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.	en_US
dc.identifier.issn	1083-589X	en_US
dc.identifier.journal	ELECTRONIC COMMUNICATIONS IN PROBABILITY	en_US
dc.identifier.uri	https://ir.lib.nycu.edu.tw/handle/11536/7353
dc.identifier.wosnumber	WOS:000265800900001
dc.language.iso	en_US	en_US
dc.subject	Levy process	en_US
dc.subject	matrix-exponential distribution	en_US
dc.subject	first exit	en_US
dc.subject	balayage	en_US
dc.subject	ruin theory	en_US
dc.title	A NOTE ON R-BALAYAGES OF MATRIX-EXPONENTIAL LEVY PROCESSES	en_US
dc.type	Article	en_US

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