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2009 A note on $r$-balayages of matrix-exponential Lévy processes
Yuan-Chung Sheu, Yu-Ting Chen
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Electron. Commun. Probab. 14: 165-175 (2009). DOI: 10.1214/ECP.v14-1456

Abstract

In this note we give semi-explicit solutions for $r$-balayages of matrix-exponential-Lévy processes. To this end, we turn to an identity for the joint Laplace transform of the first entry time and the undershoot and a semi-explicit solution of the negative Wiener-Hopf factor. Our result is closely related to the works by Mordecki in [11], Asmussen, Avram and Pistorius in [3], Chen, Lee and Sheu in [7], and many others

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Yuan-Chung Sheu. Yu-Ting Chen. "A note on $r$-balayages of matrix-exponential Lévy processes." Electron. Commun. Probab. 14 165 - 175, 2009. https://doi.org/10.1214/ECP.v14-1456

Information

Accepted: 21 April 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60153
MathSciNet: MR2497324
Digital Object Identifier: 10.1214/ECP.v14-1456

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