Generalized refracted Lévy process and its application to exit problem

DOI10.1016/J.SPA.2018.06.004MaRDI QIDQ1999919zbMATH OpenOpenAlexWikidataFDO

Authors K. Noba, Kouji Yano

Publication date 27 June 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.05359

zbMATH Keywords

excursion theoryrefracted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: Generalizing Kyprianou--Loeffen's refracted L'evy processes, we define a new refracted L'evy process which is a Markov process whose positive and negative motions are L'evy processes different from each other. To construct it we utilize the excursion theory. We study its exit problem and the potential measures of the killed processes. We also discuss approximation problem.

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• Refracted Lévy processes
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• General draw-down times for refracted spectrally negative Lévy processes

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Cited in

(7)

• On the refracted-reflected spectrally negative Lévy processes
• General draw-down times for refracted spectrally negative Lévy processes
• Generalized scale functions of standard processes with no positive jumps
• Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• Scale functions of space-time changed processes with no positive jumps
• Approximation and duality problems of refracted processes

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