谱正Lévy过程首超时的矩  

The Moment of the First Overstepping Time on Spectrally Positive Levy Processes

作　　者：李学堃[1] 张春生[2] 

机构地区：[1]天津工业大学理学院数学系,天津300160 [2]南开大学数学科学学院,天津300071

出　　处：《应用概率统计》2005年第2期213-222,共10页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金资助项目(基金号10271062).

摘　　要：谱正Lévy过程向上首次到达或超出某个水平的时刻即首超时.本文对有限的首超时的各阶原点矩的整体存在性以及它们的存在性与谱正Lévy测度相关的各阶原点矩的存在性之间相互依存的关系进行了探讨.The time that spectrally positive Levy processes first upwards reach or over cross some level is called the first overstepping time. In this paper, entire existence of the moments of the first overstepping time, and the interdependent relation between the moments of both the first overstepping time and the spectrally positive Levy processes are investigated.

关 键 词：谱正Lévy过程 首超时 Lévy测度 矩的整体存在性 谱正Lévy测度 

分 类 号：O211.6[理学—概率论与数理统计]