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.

arXiv comment12 Pages

Cited by in corpus (1)

• A Weak Approximation for the Extrema's Distributions of Lévy Processes