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A note on r-balayages of matrix-exponential L'evy processes


 
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1. Title Title of document A note on r-balayages of matrix-exponential L'evy processes
 
2. Creator Author's name, affiliation, country Yuan-Chung Sheu; Department of Applied Mathematics, National Chiao Tung University, Hsinchu, Taiwan
 
2. Creator Author's name, affiliation, country Yu-Ting Chen; Institute of Mathematics, Academia Sinica, Taipei, Taiwan
 
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4. Description 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
 
5. Publisher Organizing agency, location
 
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7. Date (YYYY-MM-DD) 2009-04-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1456
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1456
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
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