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The two-sided exit problem for spectrally positive Lévy processes

Published online by Cambridge University Press:  01 July 2016

L. C. G. Rogers
L. C. G. Rogers*
Affiliation:
University of Cambridge
*
∗Postal address: Statistical Laboratory, Department of Pure Mathematics and Mathematical Statistics, University of Cambridge, 16 Mill Lane, Cambridge, CB2 1SB.
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Abstract

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Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 22 , Issue 2 , June 1990 , pp. 486 - 487
Copyright
Copyright © Applied Probability Trust 1990 

References

[1] Bingham, N. H. (1975) Fluctuation theory in continuous time. Adv. Appl. Prob. 7, 705–766.Google Scholar
[2] Bretagnolle, J. (1971) Résultats de Kesten sur les processus à accroissements indépendants. Sém. de Probabilités V, Lecture Notes in Mathematics 191, Springer-Verlag, Berlin, 21–36.Google Scholar
[3] Emery, D. J. (1973) Exit problem for a spectrally positive process. Adv. Appl. Prob. 5, 498–520.CrossRefGoogle Scholar
[4] Takács, L. (1967) Combinatorial Methods in the Theory of Stochastic Processes. Wiley, New York.Google Scholar