主 题: On infima of Levy processes and application in risk theory
报告人: Prof. Zoran Vondracek (University of Zagreb，Corodia)
时 间: 2008-06-05 下午 3:00 - 4:00
地 点: 理科一号楼 1303
Let $Y$ be a one-dimensional Levy 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. When $X$ drifts to infinity, decomposition of the infimum at those times
leads to a Pollaczek-Khintchine formula for the probability of ruin.