Seminar series
Date
Mon, 30 May 2005
15:45
15:45
Location
DH 3rd floor SR
Speaker
Dr Andreas E. Kyprianou
Organisation
Heriot Watt University Edinburgh
We obtain a new identity giving a quintuple law of overshoot, time of
overshoot, undershoot, last maximum, and time of last maximum of a general Levy
process at ?rst passage. The identity is a simple product of the jump measure
and its ascending and descending bivariate renewal measures. With the help of
this identity, we consider applications for passage problems of stable
processes, recovering and extending results of V. Vigon on the bivariate jump
measure of the ascending ladder process of a general Levy process and present
some new results for asymptotic overshoot distributions for Levy processes with
regularly varying jump measures.
(Parts of this talk are based on joint work with Ron Doney and Claudia
Kluppelberg)