Kuznetsov, A.; Peng, X. - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2610-2638
We study the Wiener–Hopf factorization for Lévy processes with bounded positive jumps and arbitrary negative jumps. We prove that the positive Wiener–Hopf factor can be expressed as an infinite product involving solutions to the equation ψ(z)=q, where ψ is the Laplace exponent. Under...