Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
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2017
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H. Albrecher et al., « Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations », Serveur académique Lausannois, ID : 10.1016/j.spa.2016.06.021
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Résumé
We consider exit problems for general Levy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson process. It is shown that the two corresponding one-sided problems are related through a surprisingly simple identity. Moreover, we identify a simple link between two-sided exit problems with one continuous and one Poisson exit. Finally, identities for reflected processes and a link between some Parisian type exit problems are established. For spectrally one-sided Levy processes this approach enables alternative proofs for a number of previously established identities, providing additional insight.