Waly Ngom

collaborators

2 papers

math.PR2016

Joint law of the hitting time, overshoot and undershoot for a Lévy process

Laure Coutin, Waly Ngom

Let be $(X_{t}, t \geq 0)$ be a Lévy process which is the sum of a Brownian motion with drift and a compound Poisson process. We consider the first passage time $τ_{x}$ at a fixed level…

math.PR2014

First passage time law for some Lévy processes with compound Poisson: Existence of a conditional density with incomplete observation

Waly Ngom

We study the default risk in incomplete information. That means, we model the value of a firm by one Lévy process which is the sum of brownian motion with drift and compound Poisso…