On the first-passage area of a L$\acute{\text{e}}$vy process

Abstract

Let be $X(t)=x-\mu t+\sigma B_t-N_t$ a L$\acute{\text{e}}$vy process starting from $x>0,$ where $\mu \ge 0,\sigma \ge 0,B_t$ is a standard BM, and $N_t$ is a homogeneous Poisson process with intensity $\theta >0,$ starting from zero. We study the joint distribution of the first-passage time below zero, $\tau (x),$ and the first-passage area, $A(x),$ swept out by $X$ till the time $\tau (x).$ In particular, we establish differential-difference equations with outer conditions for the Laplace transforms of $\tau (x)$ and $A(x),$ and for their joint moments. In a special case $(\mu =\sigma =0),$ we show an algorithm to find recursively the moments $E[\tau (x{)}^{m}A(x{)}^n],$ for any integers $m$ and $n;$ moreover, we obtain the expected value of the time average of $X$ till the time $\tau (x).$

18 pages, 9 figures