کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156813 958874 2012 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps
چکیده انگلیسی

We study the Wiener–Hopf factorization for Lévy processes with bounded positive jumps and arbitrary negative jumps. We prove that the positive Wiener–Hopf factor can be expressed as an infinite product involving solutions to the equation ψ(z)=qψ(z)=q, where ψψ is the Laplace exponent. Under additional regularity assumptions on the Lévy measure we obtain an asymptotic expression for these solutions. When the process is spectrally negative with bounded jumps, we derive a series representation for the scale function. In order to illustrate possible applications, we discuss the implementation of numerical algorithms and present the results of several numerical experiments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 7, July 2012, Pages 2610–2638
نویسندگان
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