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arxiv: 1606.04622 · v1 · pith:CXA6DB6Snew · submitted 2016-06-15 · 🧮 math.PR

On the last exit times for spectrally negative L\'evy processes

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keywords 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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