The distribution of refracted Lévy processes with jumps having rational Laplace transforms

DOI10.1017/jpr.2017.58zbMath1400.60070arXiv1603.09092OpenAlexW2963140702MaRDI QIDQ4684914

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Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.09092

zbMATH Keywords

Wiener-Hopf factorizationcontinuity theoremvariable annuityrational Laplace transformrefracted Lévy processstate-dependent fee

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items

First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits, Occupation time of Lévy processes with jumps rational Laplace transforms

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