Analysis and Probability Seminar

Title: On infima of Levy processes and application in risk theory
Speaker: Professor Zoran Vondracek
Speaker Info: University of Zagreb
Brief Description:
Special Note:

Let $Y$ be a one-dimensional L\'evy process, $C$ an independent subordinator and $X=Y-C$. We discuss the infimum process of $X$. To be more specific, we are interested in times when a new infimum is reached by a jump of the subordinator $C$. We give a necessary and sufficient condition that such times are discrete. A motivation for this problem comes from the ruin theory where $X$ can be interpreted as a perturbed risk process. In case $Y$ is >> spectrally negative, decomposition of $X$ at times when a new infimum is reached by a jump of a subordinator leads to a Pollaczek-Hintchin-type formula for the probability of ruin.
Date: Monday, April 09, 2007
Time: 4:10pm
Where: Lunt 105
Contact Person: Prof. Elton P. Hsu
Contact email: elton@math.northwestern.edu
Contact Phone: 847-491-8541
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