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On maxima and ladder processes for a dense class of Levy process

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)208 - 220
Number of pages13
JournalJOURNAL OF APPLIED PROBABILITY
Volume43
Issue number1
DOIs
Publication statusPublished - 2006

King's Authors

Research Groups

  • King's College London

Abstract

In this paper, we present an iterative procedure to calculate explicitly the Laplace transform of the distribution of the maximum for a Levy process with positive jumps of phase type. We derive error estimates showing that this iteration converges geometrically fast. Subsequently, we determine the Laplace transform of the law of the upcrossing ladder process and give an explicit pathwise construction of this process

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