Aarhus University Seal / Aarhus Universitets segl

A factorization of a Lévy process over a phase-type horizon

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

This note provides a factorization of a Lévy pocess over a phase-type horizon τ given the phase at the supremum, thereby extending the Wiener–Hopf factorization for τ exponential. One of the factors is defined using time reversal of the phase process. It is shown that there are a variety of time-reversed representations, all yielding the same factor. Consequences of this are discussed and examples provided. Additionally, some explicit formulas for the joint law of the supremum and the terminal value of the process at τ are given.

TidsskriftStochastic Models
StatusE-pub ahead of print - 2019

Se relationer på Aarhus Universitet Citationsformater

ID: 143062928