Exit problem for a spectrally positive process
- 1 December 1973
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 5 (3) , 498-520
- https://doi.org/10.2307/1425831
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
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