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Some fluctuation identities for Lévy processes with jumps of the same sign. (English) Zbl 1064.60102
The main results concern a two-sided exit problem for spectrally negative Lévy processes. They are expressed in terms of the Laplace transform for the one-sided exit problem. At the end of the paper two examples are worked out in detail.

60G51 Processes with independent increments; Lévy processes
60B15 Probability measures on groups or semigroups, Fourier transforms, factorization
Full Text: DOI
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