A note on r-balayages of matrix-exponential L'evy processes
Yuan-Chung Sheu, Department of Applied Mathematics, National Chiao Tung University, Hsinchu, Taiwan
Yu-Ting Chen, Institute of Mathematics, Academia Sinica, Taipei, Taiwan
Abstract
In this note we give semi-explicit solutions for $r$-balayages of matrix-exponential-Lévy processes. To this end, we turn to an identity for the joint Laplace transform of the first entry time and the undershoot and a semi-explicit solution of the negative Wiener-Hopf factor. Our result is closely related to the works by Mordecki in [11], Asmussen, Avram and Pistorius in [3], Chen, Lee and Sheu in [7], and many others
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