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Distribution of some functionals for a Lévy process with matrix-exponential jumps of the same sign
Ie. V. Karnaukh O. Honchar Dnipropetrovsk National University, 72, Gagarina Pr.,
Dnipropetrovsk 49010, Ukraine
Abstract:
This paper provides a framework for investigations in fluctuation theory for Lévy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we establish generalizations of some results known for compound Poisson processes with exponential jumps in one direction and generally distributed jumps in the other direction.
Keywords:
Lévy processes; matrix-exponential jumps; extrema; overshoot; sojourn time; ladder process.
Citation:
Ie. V. Karnaukh, “Distribution of some functionals for a Lévy process with matrix-exponential jumps of the same sign”, Theory Stoch. Process., 19(35):1 (2014), 26–36
Linking options:
https://www.mathnet.ru/eng/thsp3 https://www.mathnet.ru/eng/thsp/v19/i1/p26
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Abstract page: | 100 | Full-text PDF : | 38 | References: | 53 |
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