具有Markov调制的停止Lévy过程的尾部行为
Tail behavior of stopped Lévy processes with Markov modulation
摘要：
本文研究了一类停止于状态依赖泊松率的轻尾马氏调制Lévy过程的尾概率。尾巴示出的速率由一个特定的矩阵值函数的谱横坐标的唯一的正负根指数衰减。我们说明了使用我们的研究结果与应用程序的平稳分布的财富在一个简单的经济模型，在该模型中，代理人与恒定的绝对风险厌恶随机死亡率和收入波动。
英文摘要：
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.
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