Occupation times of refracted Lévy processes

DOI10.1007/S10959-013-0501-4MaRDI QIDQ482802zbMATH OpenOpenAlexFDO

Authors A. E. Kyprianou, J. C. Pardo, José Luis Pérez Garmendia

Publication date 6 January 2015

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.0756, http://opus.bath.ac.uk/35979/1/KyPaPe9.pdf

zbMATH Keywords

occupation timesstochastic differential equationsfluctuation theoryrefracted Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: A refracted L'evy process is a L'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More precisely, whenever it exists, a refracted L'evy process is described by the unique strong solution to the stochastic differential equation [ ud U_t=-deltamathbf{1}_{{U_t>b}}ud t +ud X_t, ] where $X=(X_t,tge0)$ is a L'evy process with law $p$ and $b,deltainR$ such that the resulting process $U$ may visit the half line $(b,infty)$ with positive probability. In this paper, we consider the case that $X$ is spectrally negative and establish a number of identities for the following functionals [ int_0^inftymathbf{1}_{{U_t<b}}ud t, quadint_0^{ ho_a^+}mathbf{1}_{{U_t<b}}ud t, quadint_0^{ ho^-_c}mathbf{1}_{{U_t<b}}ud t, quadint_0^{ ho_a^+land ho^-_c}mathbf{1}_{{U_t<b}}ud t, ] where $h{o}_a^{+}=inftge0:U_t>a$ and $h{o}_c^{-}=inftge0:U_t<c$ for $c<b<a$. Our identities extend recent results of Landriault et al. cite{LRZ} and bear relevance to Parisian-type financial instruments and insurance scenarios.

Recommendations

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Cites work

• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
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Cited in

(31)

• \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
• An occupation time related potential measure for diffusion processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
• Refraction-reflection strategies in the dual model
• On a family of critical growth-fragmentation semigroups and refracted Lévy processes
• Fluctuation theory for level-dependent Lévy risk processes
• Occupation times of intervals until last passage times for spectrally negative Lévy processes
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• On the bailout dividend problem for spectrally negative Markov additive models
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Omega diffusion risk model with surplus-dependent tax and capital injections
• Occupation times of refracted double exponential jump diffusion processes
• Occupation time distributions for Lévy bridges and excursions
• Poissonian occupation times of refracted Lévy processes with applications
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• Occupation times of alternating renewal processes with Lévy applications
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• Refracted Lévy processes
• On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
• A refracted Lévy process with delayed dividend pullbacks
• The joint Laplace transforms for diffusion occupation times
• On the time spent in the red by a refracted Lévy risk process
• Occupation times for the finite buffer fluid queue with phase-type ON-times
• On occupation times in the red of Lévy risk models
• Fluctuations of Omega-killed spectrally negative Lévy processes
• On weighted occupation times for refracted spectrally negative Lévy processes
• On the refracted-reflected spectrally negative Lévy processes
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• The time of deducting fees for variable annuities under the state-dependent fee structure

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