A factorization of a Lévy process over a phase-type horizon. Issue 4 (2nd October 2018)

• Record Type: Journal Article
• Authors: Asmussen, Søren; Ivanovs, Jevgenijs
• Is Part Of: Stochastic models. Volume 34:Issue 4(2018)
• Page Start: 397
• Page End: 408
• Publication Date: 2018-10-02
• Subjects: Wiener–Hopf factorization -- splitting -- time reversal -- phase-type distribution; Primary 60G51 -- 60J27; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/15326349.2018.1513335
• Languages: English
• ISSNs: 1532-6349

Abstract

Abstract: This note provides a factorization of a Lévy pocess over a phase-type horizon τ given the phase at the supremum, thereby extending the Wiener–Hopf factorization for τ exponential. One of the factors is defined using time reversal of the phase process. It is shown that there are a variety of time-reversed representations, all yielding the same factor. Consequences of this are discussed and examples provided. Additionally, some explicit formulas for the joint law of the supremum and the terminal value of the process at τ are given.