Range-based last passage time for spectrally negative Lévy processes
Abstract
In this paper, we incorporate the range process into the analysis of last passage times. Motivated by Landriault et al. (2023), we introduce a new random time that accounts for a firm’s tolerance for both the persistence of negative surplus and the magnitude of surplus fluctuations before the last recovery. We also derive analytical results for several Laplace transforms that connect last passage times with the range process, expressed in terms of scale functions.
Fields of Study & Subjects
Advanced Queuing Theory Analysis
Probability and Risk Models
Supply Chain and Inventory Management
Publication details
- Journal / source
- Statistics & Probability Letters
- Publisher
- Elsevier BV
- Volume
- 238
- Pages
- 110845–110845
- Publication date
- 28 May 2026
- Language
- EN