Frontiers of Mathematics in China >
A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
Received date: 13 Jul 2020
Accepted date: 21 Aug 2020
Published date: 15 Apr 2021
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For spectrally negative Lévy process (SNLP), we find an expression, in terms of scale functions, for a potential measure involving the maximum and the last time of reaching the maximum up to a draw-down time. As applications, we obtain a potential measure for the reflected SNLP and recover a joint Laplace transform for the Wiener-Hopf factorization for SNLP.
Man CHEN , Xianyuan WU , Xiaowen ZHOU . A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process[J]. Frontiers of Mathematics in China, 2021 , 16(2) : 325 -343 . DOI: 10.1007/s11464-020-0861-x
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