论文标题
马尔可夫调制的停止莱维过程的尾声
Tail behavior of stopped Lévy processes with Markov modulation
论文作者
论文摘要
本文涉及轻尾马尔可夫调制过程的尾巴概率以州依赖的泊松率停止。尾巴显示出以某个基质值函数的光谱横坐标的独特正和负根为例，呈指数衰减。我们说明了我们的结果的使用，并在一个简单的经济模型中应用了财富的固定分配，在一个简单的经济模型中，持续的绝对风险规避的代理会受到随机死亡率和收入波动的影响。
This article concerns the tail probabilities of a light-tailed Markov-modulated Lévy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially at rates given by the unique positive and negative roots of the spectral abscissa of a certain matrix-valued function. We illustrate the use of our results with an application to the stationary distribution of wealth in a simple economic model in which agents with constant absolute risk aversion are subject to random mortality and income fluctuation.
