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arxiv: 1809.00560 · v1 · pith:4X6IAJ53new · submitted 2018-09-03 · 🧮 math.PR

Excursions of a spectrally negative L\'evy process from a two-point set

classification 🧮 math.PR
keywords hittingprocesslaplacenegativepointspectrallytimetwo-point
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Let $a\in (0,\infty)$. For a spectrally negative L\'evy process $X$ with infinite variation paths the resolvent of the process killed on hitting the two-point set $V=\{-a,a\}$ is identified. When further $X$ has no diffusion component the Laplace transforms of the entrance laws of the excursion measures of $X$ from $V$ are determined. This is then applied to establishing the Laplace transform of the amount of time that elapses between the last visit of $X$ to a given point $x$, before hitting some other point $y>x$, and the hitting time of $y$. All the expressions are explicit and tractable in the standard fluctuation quantities associated to $X$.

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