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Exit problem for a spectrally positive process

Published online by Cambridge University Press:  01 July 2016

D. J. Emery
D. J. Emery*
Affiliation:
The Polytechnic of Central London
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Abstract

The joint distributions of the exit time and exit value of a spectrally positive process, from semi-infinite and finite intervals, are derived in the form of Fourier-Laplace transforms. Also the probability that such a process makes its first exit from a finite interval via the lower end point is obtained explicitly.

Keywords

EXITINTERVALHOMOGENEOUS PROCESS WITH INDEPENDENT INCREMENTSWIENER-HOPFEXTENDED MARKOV PROPERTYPHRAGMÉN-LINDELÖF

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 5 , Issue 3 , December 1973 , pp. 498 - 520
Copyright
Copyright © Applied Probability Trust 1973 

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