J. M. Pedraza

activity

20182021

most citedOn the last zero process with an application in corporate bankruptcy

1 citations · 1 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2021

Predicting the Last Zero before an exponential time of a Spectrally Negative Lévy Process

Erik J. Baurdoux, José M. Pedraza

Given a spectrally negative Lévy process, we predict, in a $L_{1}$ sense, the last passage time of the process below zero before an independent exponential time. This optimal predict…

math.PR2020★ 1 cited

On the last zero process with an application in corporate bankruptcy

Erik J. Baurdoux, J. M. Pedraza

For a spectrally negative Lévy process $X$ , consider $g_{t}$ , the last time $X$ is below the level zero before time $t \geq 0$ . We use a perturbation method for Lévy processes to deri…

math.PR2018

Predicting the last zero of a spectrally negative Lévy process

Erik J. Baurdoux, J. M. Pedraza

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on…