TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION
研究了轻尾马尔可夫调制莱维过程在状态依赖泊松率停止时的尾部概率，发现其以指数速率衰减，并应用于常绝对风险厌恶代理人的财富稳态分布。
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.