On the last exit times for spectrally negative Lévy processes
Work
Year: 2017
Type: article
Abstract: Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit ti... more
Source: Journal of Applied Probability
Authors Yingqiu Li, Chuancun Yin, Xiaowen Zhou
Cites: 20
Cited by: 26
Related to: 10
FWCI: 3.012
Citation percentile (by year/subfield): 99.99
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green