On the last exit times for spectrally negative L\'evy processes
classification
🧮 math.PR
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exitlasttimenegativeprocessesspectrallyapproachassociated
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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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