On the last exit times for spectrally negative Lévy processes

Published 15 Jun 2016 in math.PR | (1606.04622v1)

Abstract: 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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