Financial/Actuarial Mathematics Date:  Friday, February 22, 2013 Location:  1360 East Hall (3:00 PM to 4:00 PM) Title:  Fluctuation theory for completely asymmetric Markov processes Abstract:   We study the class of completely asymmetric standard processes living on an interval of the real line, that is for strong Markov processes having jumps only in one direction. This class of processes, which are a natural generalization of one dimensional-diffusions, arises naturally in risk theory. It also encompasses many interesting instances such as branching processes with immigration, spectrally negative Lévy processes… Under mild conditions, we present two original methodologies for characterizing the Laplace transform of their first exit times from an interval. We also discuss several potential theoretic properties and provide an expression of their resolvent densities. Finally, we illustrate our techniques by easily recovering the well-known fluctuation identities of spectrally negative Lévy processes. The talk is based on joint work with Vincent Vigon (IRMA, Strasbourg, France) 1773_FPT_CAS.pdf Speaker:  Pierre Patie Institution:  Cornell University Event Organizer:   Erhan Bayraktar    erhan@umich.edu   Edit this event (login required). Add new event (login required). For access requests and instructions, contact math-webmaster@umich.edu Back to previous page Back to UM Math seminars/events page.