On weighted occupation times for refracted spectrally negative Lévy processes
From MaRDI portal
Publication:1645119
DOI10.1016/j.jmaa.2018.05.077zbMath1404.60066arXiv1703.05952OpenAlexW2611930446MaRDI QIDQ1645119
Publication date: 28 June 2018
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.05952
resolventintegral equationexit timespectrally negative Lévy processweighted occupation timerefracted process
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
How long does the surplus stay close to its historical high?, First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, On occupation times in the red of Lévy risk models
Cites Work
- Unnamed Item
- On pre-exit joint occupation times for spectrally negative Lévy processes
- Occupation times of refracted Lévy processes
- Smoothness of scale functions for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
- Occupation times of refracted double exponential jump diffusion processes
- Refracted Lévy processes
- Controlled diffusion models for optimal dividend pay-out
- Fluctuations of Omega-killed spectrally negative Lévy processes
- The Omega model: from bankruptcy to occupation times in the red
- Two-sided discounted potential measures for spectrally negative Lévy processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- The compound Poisson risk model with a threshold dividend strategy
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Optimality of Refraction Strategies for Spectrally Negative Lévy Processes
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- Optimization of the flow of dividends
- On Optimal Dividend Strategies In The Compound Poisson Model
- On the time spent in the red by a refracted L\'evy risk process
- Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes