A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process

• 作 者: Man CHEN Xianyuan WU Xiaowen ZHOU
• 机 构: School of Mathematical Sciences,Capital Normal University,Beijing 100048,China;Department of Mathema
• 出 处: 中国数学前沿
• 发表日期: 2021年2期
• 关键词: Spectrally negative Lévy process(SNLP) potential measure draw-down time excursio

For spectrally negative Lévy process(SNLP),we find an expression,in terms of scale functions,for a potential measure involving the maximum and the last time of reaching the maximum up to a draw-down time.As applications,we obtain a potential measure for the reflected SNLP and recover a joint Laplace transform for the Wiener-Hopf factorization for SNLP.