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Exit identities for Lévy processes observed at Poisson arrival times

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DOI

  • Hansjörg Albrecher, University of Lausanne
  • ,
  • Jevgenijs Ivanovs
  • Xiaowen Zhou, Concordia University

For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson process. In addition, we consider exit problems of this type for processes reflected either from above or from below. The resulting Laplace transforms of the main quantities of interest are in terms of scale functions and turn out to be simple analogues of the classical formulas.

Original languageEnglish
JournalBernoulli
Volume22
Issue3
Pages (from-to)1364-1382
Number of pages19
ISSN1350-7265
DOIs
Publication statusPublished - 2016
Externally publishedYes

    Research areas

  • Cramér-Lundberg risk model, Dividends, Exit problem, Reflection, Spectrally negative Levy process

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