Electronic Communications in Probability

A note on $r$-balayages of matrix-exponential Lévy processes

Yuan-Chung Sheu and Yu-Ting Chen

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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

Article information

Source
Electron. Commun. Probab., Volume 14 (2009), paper no. 16, 165-175.

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

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465234725

Digital Object Identifier
doi:10.1214/ECP.v14-1456

Mathematical Reviews number (MathSciNet)
MR2497324

Zentralblatt MATH identifier
1189.60153

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Sheu, Yuan-Chung; Chen, Yu-Ting. A note on $r$-balayages of matrix-exponential Lévy processes. Electron. Commun. Probab. 14 (2009), paper no. 16, 165--175. doi:10.1214/ECP.v14-1456. https://projecteuclid.org/euclid.ecp/1465234725


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