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On weighted occupation times for refracted spectrally negative L��vy processes

Authors :
Li, Bo
Zhou, Xiaowen
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.

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........cc1d528c8b8d0ea6643adb447b2eb944
Full Text :
https://doi.org/10.48550/arxiv.1703.05952