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arxiv: 1507.03848 · v2 · pith:NSDB3WKTnew · submitted 2015-07-14 · 🧮 math.PR

Strikingly simple identities relating exit problems for L\'evy processes under continuous and Poisson observations

classification 🧮 math.PR
keywords exitpoissonproblemscontinuousprocessprocessessimpleestablished
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We consider exit problems for general L\'evy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson process. It is shown that the two corresponding one-sided problems are related through a surprisingly simple identity. Moreover, we identify a simple link between two-sided exit problems with one continuous and one Poisson exit. Finally, Poisson exit of a reflected process is connected to the continuous exit of a process reflected at Poisson epochs, and a link between some Parisian type exit problems is established. With the appropriate perspective, the proofs of all these relations turn out to be quite elementary. For spectrally one-sided L\'evy processes this approach enables alternative proofs for a number of previously established identities, providing additional insight.

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