Fluctuation Theory for Upwards Skip-Free Lévy Chains

Fluctuation Theory for Upwards Skip-Free Lévy Chains

A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free Lévy chains, i.e., for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by analogy to the spectrally negative class of L&eacut...

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Bibliographic Details
Main Author: Matija Vidmar
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
Lévy processes
non-random overshoots
skip-free random walks
fluctuation theory
scale functions
capital surplus process
Online Access:http://www.mdpi.com/2227-9091/6/3/102

Internet

http://www.mdpi.com/2227-9091/6/3/102

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