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On weighted occupation times for refracted spectrally negative L��vy processes
- Publication Year :
- 2017
- Publisher :
- arXiv, 2017.
-
Abstract
- For refracted spectrally negative L��vy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique solutions to integral equations involving weight functions and scale functions for the associated spectrally negative L��vy processes. Previous results on refracted L��vy processes are recovered.
- Subjects :
- Probability (math.PR)
FOS: Mathematics
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi...........cc1d528c8b8d0ea6643adb447b2eb944
- Full Text :
- https://doi.org/10.48550/arxiv.1703.05952