# Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics

- ISBN978-3-03928-458-0 (Hardback)
- ISBN978-3-03928-459-7 (PDF)

This book is a reprint of the Special Issue Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics that was published in

Exit problems for one-dimensional Lévy processes are easier when jumps only occur in one direction. In the last few years, this intuition became more precise: we know now that a wide variety of identities for exit problems of spectrally-negative Lévy processes may be ergonomically expressed in terms of two *q*-harmonic functions (or scale functions or positive martingales) *W* and *Z*. The proofs typically require not much more than the strong Markov property, which hold, in principle, for the wider class of spectrally-negative strong Markov processes. This has been established already in particular cases, such as random walks, Markov additive processes, Lévy processes with omega-state-dependent killing, and certain Lévy processes with state dependent drift, and seems to be true for general strong Markov processes, subject to technical conditions. However, computing the functions *W* and *Z* is still an open problem outside the Lévy and diffusion classes, even for the simplest risk models with state-dependent parameters (say, Ornstein–Uhlenbeck or Feller branching diffusion with phase-type jumps).

- Hardback