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 ...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.展开更多
基金Man Chen was supported by the China Scholarship Council(No.201908110314)Xianyuan Wu was supported by the National Natural Science Foundation of China(Grant No.11471222)Man Chen and Xianyuan Wu were supported by the Academy for Multidisciplinary Studies,Capital Normal University,and Man Chen and Xiaowen Zhou were supported by RGPIN-2016-06704.
文摘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.
