Exit identities for L\'evy processes observed at Poisson arrival times

By Hansjörg Albrecher *, Jevgenijs Ivanovs, Xiaowen Zhou. 2014

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For a spectrally one-sided L\'{e}vy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson process. In addition, we consider exit problems of this type for processes reflected either from above or from below. The resulting Laplace transforms of the main quantities of interest are in terms of scale functions and turn out to be simple analogues of the classical formulas.

Subfields: Management Information Systems, Management Science and Operations Research, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/736b09bb178ce673f0fd002fd52ee461cce48924