谱正Lévy过程首超时的矩

The Moment of the First Overstepping Time on Spectrally Positive Lévy Processes

  • 摘要: 谱正Lévy过程向上首次到达或超出某个水平的时刻即首超时.本文对有限的首超时的各阶原点矩的整体存在性以及它们的存在性与谱正Lévy测度相关的各阶原点矩的存在性之间相互依存的关系进行了探讨.

     

    Abstract: The time that spectrally positive Lévy processes first upwards reach or over cross some level is called the first overstepping time. In this paper, entire existence of the moments of the first overstepping time, and the interdependent relation between the moments of both the first overstepping time and the spectrally positive Levy processes are investigated.

     

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