On the Distribution of Extrema for a Class of Lévy Processes

Abstract

Suppose Xt is either a regular exponential type Levy process or a Levy process with a bounded variation jumps measure. The distribution of the extrema of Xt play a crucial role in many financial and actuarial problems. This article employs the well known and powerful Riemann-Hilbert technique to derive the characteristic functions of the extrema for such Levy processes. An approximation technique along with several examples is given.

12 Pages

Cited by in corpus (1)

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