The unified form of Pollaczek–Khinchine formula for Lévy processes with matrix-exponential negative jumps

D. Gusak^a, Ie. Karnaukh<sup>b

a</sup> Institute of Mathematics of the NAS of Ukraine, 3, Tereshchenkivs'ka Str., Kyiv 01601, Ukraine
^b O. Honchar Dnipropetrovsk National University, 72, Gagarina Pr., Dnipropetrovsk 49010, Ukraine

Abstract: For Lévy processes with matrix-exponential negative jumps, the unified form of the Pollaczek-Khinchine formula is established.

Keywords: Pollaczek–Khinchine formula; Lévy processes; matrix-exponential negative jumps.

MSC: Primary 60G51; Secondary 60K10

Language: English

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