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arXiv · 1606.04622

On the last exit times for spectrally negative L\'evy processes

Yingqiu Lia·Chuancun Yin·Xiaowen Zhou
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Abstract

Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time, which generalizes some previous results.

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Yingqiu Lia, Chuancun Yin, Xiaowen Zhou. 2016-06-15. On the last exit times for spectrally negative L\'evy processes. https://arxiv.org/abs/1606.04622

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