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On the last exit times for spectrally negative Lévy processes. (English) Zbl 1400.60068

Summary: Using a new approach, for spectrally negative Lévy processes, we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.

MSC:

60G51 Processes with independent increments; Lévy processes
60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
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References:

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