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

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

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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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