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Theory of Stochastic Processes, 2012, Volume 18(34), Issue 2, Pages 15–23 (Mi thsp26)  
The unified form of Pollaczek–Khinchine formula for Lévy processes with matrix-exponential negative jumps

D. Gusaka, Ie. Karnaukhb

a Institute of Mathematics of the NAS of Ukraine, 3, Tereshchenkivs'ka Str., Kyiv 01601, Ukraine
b O. Honchar Dnipropetrovsk National University, 72, Gagarina Pr., Dnipropetrovsk 49010, Ukraine
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Abstract: For Lévy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.
Keywords: Pollaczek–Khinchine formula; Lévy processes; matrix-exponential negative jumps.
Bibliographic databases:
Document Type: Article
MSC: Primary 60G51; Secondary 60K10
Language: English
Citation: D. Gusak, Ie. Karnaukh, “The unified form of Pollaczek–Khinchine formula for Lévy processes with matrix-exponential negative jumps”, Theory Stoch. Process., 18(34):2 (2012), 15–23
Citation in format AMSBIB
\Bibitem{GusKar12}
\by D. Gusak, Ie. Karnaukh
\paper The unified form of Pollaczek--Khinchine formula for L\'{e}vy processes with matrix-exponential negative jumps
\jour Theory Stoch. Process.
\yr 2012
\vol 18(34)
\issue 2
\pages 15--23
\mathnet{http://mi.mathnet.ru/thsp26}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3124771}
\zmath{https://zbmath.org/?q=an:1289.60089}
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